By Susanna Moon
Chicago, July 19 - JPMorgan Chase & Co. priced $6.2 million of 0% capped index knock-out notes due Aug. 10, 2011 based on the performance of 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 has not occurred, the payout will be par plus any index gain, up to a maximum return of $1,200 per $1,000 principal amount. Investors will receive a contingent minimum return of 16.3%.
If a knock-out event has occurred, the payout at maturity will be par plus the index return, with exposure to any losses. Any gains will be capped at 20%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index knock-out notes
|
| Underlying index: | Russell 2000
|
| Amount: | $6.2 million
|
| Maturity: | Aug. 10, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index never falls by more than 30% during life of notes, par plus index gain, floor of 16.3%; otherwise, par plus index return, with exposure to losses; in either case, gains capped at 20%
|
| Initial index level: | 634.62
|
| Pricing date: | July 15
|
| Settlement date: | July 20
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 48124AWJ2
|
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