By Susanna Moon
Chicago, July 26 - JPMorgan Chase & Co. priced $1.61 million of 0% capped daily observation knock-out notes due Aug. 8, 2012 linked to Vodafone Group plc American Depositary Shares, according to a 424B2 filing with the Securities and Exchange Commission.
If Vodafone shares fall by more than 20% during the life of the notes, the payout at maturity will be par plus the share return, with exposure to losses.
Otherwise, the payout will be par plus the greater of the share return and the contingent minimum return of 12.7%.
The maximum return at maturity is 20%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped daily observation knock-out notes
|
| Underlying ADSs: | Vodafone Group plc (Nasdaq: VOD)
|
| Amount: | $1.61 million
|
| Maturity: | Aug. 8, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If Vodafone shares fall by more than 20%, par plus share return with exposure to losses; otherwise, par plus greater of share return and 12.7%; any gains capped at 20%
|
| Initial price: | $27.02
|
| Pricing date: | July 22
|
| Settlement date: | July 27
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XYZ3
|
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