By Jennifer Chiou
New York, July 2 - JPMorgan Chase & Co. priced $20,544,000 of 0% capped index knock-out notes due July 16, 2014 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 contingent minimum return of 3.92% and the index return.
If a knock-out event occurs, the payout at maturity is par plus the index return, with exposure to losses.
In either case, the payout is subject to a maximum return of 15%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $20,544,000
|
| Maturity: | July 16, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 20% during life of notes, par plus index return; otherwise, par plus greater of index return and 3.92%; in either case, maximum return is 15%
|
| Initial index level: | 1,606.28
|
| Pricing date: | June 28
|
| Settlement date: | July 3
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48126NGA9
|
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