By Toni Weeks
San Diego, June 1 - JPMorgan Chase & Co. priced $46.43 million of 0% capped market plus notes due June 7, 2012 linked to the S&P GSCI Brent Crude Oil Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
If the index falls to or below 70% of the initial level 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 a contingent minimum return of 10%.
In either case, the payout is subject to a maximum return of 16.4%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped market plus notes
|
| Underlying index: | S&P GSCI Brent Crude Oil Index Excess Return
|
| Amount: | $46,433,000
|
| Maturity: | June 7, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls to or below 70% of initial level during life of notes, par plus index return; otherwise par plus greater of index return and contingent minimum return of 10%; in either case, maximum return of 16.4%
|
| Initial level: | 805.141
|
| Pricing date: | May 27
|
| Settlement date: | June 2
|
| Agents: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XSQ0
|
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