By Toni Weeks
San Luis Obispo, Calif., July 30 - JPMorgan Chase & Co. priced $3.04 million 0% capped index knock-out notes due Aug. 13, 2014 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than 20% from the initial level on any day during the life of the notes.
If a knock-out event does not occur, the payout at maturity will be par plus a digital return of 10.05%.
If a knock-out event occurs, the payout at maturity will be par plus the index return, subject to a maximum return of 10.05%.
J.P. Morgan Securities LLC will act as agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index knock-out notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $3,035,000
|
| Maturity: | Aug. 13, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 20% during life of notes, par plus index return, subject to maximum return of 10.05%; if knock-out event does not occur, par plus 10.05%
|
| Initial index level: | 2,741.96
|
| Knock-out buffer level: | 20%
|
| Pricing date: | July 26
|
| Settlement date: | July 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48126NKY2
|
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