By Angela McDaniels
Tacoma, Wash., Oct. 19 - JPMorgan Chase & Co. priced $1.4 million of 0% capped index knock-out notes due April 19, 2012 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 30% during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the index return, which could be positive or negative.
If a knock-out event does not occur, the payout will be par plus the greater of the index return and 15%.
In either case, the payout is subject to a maximum return of 16.25%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index knock-out notes
|
| Underlying | : | S&P 500 index
|
| Amount: | $1.4 million
|
| Maturity: | April 19, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 30% during life of notes, par plus index return with exposure to losses; otherwise, par plus greater of index return and 15%; return capped at 16.25% in each case
|
| Initial index level: | 1,176.18
|
| Pricing date: | Oct. 15
|
| Settlement date: | Oct. 20
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.08%, including 0.1% for selling concessions
|
| Cusip: | 48124AS24
|
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