By Toni Weeks
San Luis Obispo, Calif., July 5 - JPMorgan Chase & Co. priced $2.15 million of 0% capped index knock-out notes due July 23, 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 index return and the contingent minimum return of 0.85%.
If a knock-out event occurs, the payout at maturity is par plus the index return, with exposure to losses.
In either case, the maximum return is 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: | $2.15 million
|
| Maturity: | July 23, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 20% during life of notes, par plus index return, with exposure to losses; if knock-out event does not occur, par plus greater of index return and 0.85%; in either case, maximum return is 15%
|
| Initial index level: | 1,614.08
|
| Knock-out buffer level: | 20%
|
| Pricing date: | July 2
|
| Settlement date: | July 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48126NHM2
|
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