By Angela McDaniels
Tacoma, Wash., Nov. 28 - JPMorgan Chase & Co. priced $10 million of 0% capped index knock-out notes due Dec. 10, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index's closing level is less than the initial index level by more than 42.5% on any day during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the index return and 10%.
In each case, the payout will be subject to a maximum return of 10%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $10 million
|
| Maturity: | Dec. 10, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 42.5% during life of notes, par plus index return; otherwise, par plus greater of index return and 10%; return capped at 10% in each case
|
| Initial index level: | 1,161.79
|
| Pricing date: | Nov. 23
|
| Settlement date: | Nov. 29
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VDR8
|
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