By Susanna Moon
Chicago, May 27 - JPMorgan Chase & Co. priced $464,000 of 0% capped index knock-out notes due Nov. 30, 2012 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 than 20% 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 losses.
Otherwise, the payout will be par plus the greater of the index return and a contingent minimum return of 9%.
In either case, the maximum payout at maturity is $1,200 per $1,000 principal amount.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index knock-out notes
|
| Underlying index: | S&P 500 index
|
| Amount: | $464,000
|
| Maturity: | Nov. 30, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index ever falls by more than 20%, par plus index return with exposure to losses; otherwise, par plus greater of index return and 9%; return capped at 20% in both cases
|
| Initial index level: | 1,320.47
|
| Pricing date: | May 25
|
| Settlement date: | May 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.43%
|
| Cusip: | 48125XPX8
|
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