By Toni Weeks
San Diego, Aug. 16 - JPMorgan Chase & Co. priced $9.76 million of 0% capped index knock-out notes due Oct. 3, 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% from the initial level during the life of the notes.
If a knock-out event does not occur, the payout at maturity is par plus the greater of the index return and the contingent minimum return of 13.3%.
If a knock-out event occurs, the payout at maturity is par plus the index return.
In either case, the maximum return is 20%, or $1,200 per $1,000 of notes.
J.P. Morgan Securities LLC will act as agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $9,761,000
|
| Maturity: | Oct. 3, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 20% from initial level during life of notes, par plus index return; otherwise, par plus greater of index return and 13.3%; maximum return of 20% in either case
|
| Initial level: | 1,216.01
|
| Knock-out buffer: | 20% of initial level
|
| Pricing date: | Sept. 16
|
| Settlement date: | Sept. 21
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125X2B1
|
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