By Marisa Wong
Madison, Wis., Dec. 7 - JPMorgan Chase & Co. priced $5.25 million of 0% capped daily observation knock-out notes due Dec. 21, 2011 linked to the common stock of Freeport-McMoRan Copper & Gold Inc., according to a 424B2 filing with the Securities and Exchange Commission.
If the closing price of Freeport stock falls by more than 37.25% from the initial share price during the life of the notes, the payout at maturity will be par plus the stock return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the stock return and 10%.
In each case, the payout will be subject to a maximum return of 30%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped daily observation knock-out notes
|
| Underlying stock: | Freeport-McMoRan Copper & Gold Inc. (NYSE: FCX)
|
| Amount: | $5,251,000
|
| Maturity: | Dec. 21, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If Freeport stock falls by more than 37.25% during life of notes, par plus stock return; otherwise, par plus greater of stock return and 10%; return capped at 30% in each case
|
| Initial share price: | $108.95
|
| Pricing date: | Dec. 3
|
| Settlement date: | Dec. 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48124A4C8
|
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