By Toni Weeks
San Diego, May 22 - JPMorgan Chase & Co. priced $30.23 million of 0% capped index knock-out notes due June 5, 2013 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 23.5% from the initial level on any day during the life of the notes.
If a knock-out event has not occurred, the payout at maturity will be par plus the greater of the index return and the 5% contingent minimum return.
If a knock-out event has occurred, the payout will be par plus the index return.
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: | $30,225,000
|
| Maturity: | June 5, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 23.5% during life of notes, par plus index return; otherwise, par plus greater of index return and 5%; in either case, maximum return is 15%
|
| Initial index level: | 1,295.22
|
| Pricing date: | May 18
|
| Settlement date: | May 23
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VYY0
|
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