By Angela McDaniels
Tacoma, Wash., Nov. 28 - JPMorgan Chase & Co. priced $915,000 of 0% autocallable knock-out buffered equity notes due Dec. 10, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Beginning Dec. 7, the notes will be automatically called at par plus 7% if the index closes at or above 107% of the initial level on the third business day of any calendar week during the life of the notes.
A knock-out event will occur if the index's closing level is less than 80% of the initial level on any day during the life of the notes.
If the notes have not been called and the final index level is greater than the initial level, the payout at maturity will be par plus the index return, subject to a maximum return of 7%.
If the final index level is less than the initial level and a knock-out event has not occurred, the payout will be par. If a knock-out event has occurred, investors will be fully exposed to the index decline.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable knock-out buffered equity notes
|
| Underlying index: | S&P 500
|
| Amount: | $915,000
|
| Maturity: | Dec. 10, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than initial level, par plus lesser of index return and 7%; if final index level is less than initial level and knock-out event has not occurred, par; otherwise, full exposure to index decline; knock-out event occurs if index's closing level is less than 80% of initial level on any day during life of notes
|
| Call: | Beginning Dec. 7, automatically at par plus 7% if index closes at or above 107% of initial index level on third business day of any calendar week during life of notes
|
| Initial index level: | 1,161.79
|
| Pricing date: | Nov. 23
|
| Settlement date: | Nov. 29
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VDL1
|
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