By Marisa Wong
Madison, Wis., July 13 - JPMorgan Chase & Co. priced $5.16 million of 0% capped index knock-out notes due Aug. 5, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more 25% at any time 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.
If a knock-out event has not occurred, the payout will be par plus the greater of the index return and a contingent minimum return of 12.06%.
In either case, the payout is subject to a maximum return of 20%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $5,164,000
|
| Maturity: | Aug. 5, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index never falls by more than 25% during life of notes, par plus index return, floor of 12.06%; otherwise, par plus index return, with exposure to losses; in either case, return capped at 20%
|
| Initial index level: | 1,077.96
|
| Pricing date: | July 9
|
| Settlement date: | July 14
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 48124AWC7
|
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