By Susanna Moon
Chicago, May 24 - JPMorgan Chase & Co. priced $9.59 million of 0% capped daily observation knock-out notes due June 6, 2012 linked to Dow Chemical Co. shares, according to a 424B2 filing with the Securities and Exchange Commission.
If Dow Chemical stock falls by more than 25% during the life of the notes, the payout at maturity will be par plus the stock return, with exposure to any losses.
Otherwise, the payout will be par plus the greater of the stock return and a contingent minimum return of 12.15%.
In either case, the maximum payment at maturity is $1,300 per $1,000 principal amount.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped daily observation knock-out notes
|
| Underlying stock: | Dow Chemical Co. (NYSE: DOW)
|
| Amount: | $9,593,000
|
| Maturity: | June 6, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If stock ever dips by more than 25%, par plus stock return, with exposure to losses; otherwise, par plus greater of stock return and 12.15%; in either case, return capped at 30%
|
| Initial price: | $36.01
|
| Pricing date: | May 20
|
| Settlement date: | May 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XSP2
|
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