By Marisa Wong
Madison, Wis., July 6 - JPMorgan Chase & Co. priced $1.5 million of 0% capped index knock-out notes due Jan. 6, 2012 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more 30% during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the index return, with exposure to any losses. The return is subject to a cap of 27%.
If a knock-out event has not occurred, the payout will be par plus a contingent minimum return of 27%.
J.P. Morgan Securities Inc. is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Capped index knock-out notes
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Underlying index: | Russell 2000
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Amount: | $1.5 million
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Maturity: | Jan. 6, 2012
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index never falls by more than 30% during life of notes, par plus 27%; otherwise, par plus index return, with exposure to losses, return capped at 27%
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Initial index level: | 604.76
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Pricing date: | July 1
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Settlement date: | July 7
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 1.65%
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Cusip: | 48124AWA1
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