By Susanna Moon
Chicago, Aug. 20 - JPMorgan Chase & Co. priced $1.3 million of 0% capped index knock-out notes due Sept. 4, 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 36.2% from the initial level during the life of the notes.
If a knock-out event does not occur, the payout at maturity is par plus the greater of the contingent minimum return of 0% and any gain up to a maximum return of 7%.
Otherwise, the payout at maturity is par plus the index return, with exposure to any losses and any gains capped at 7%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index knock-out notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $1.3 million
|
| Maturity: | Sept. 4, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index ever closes below knock-out level during life of notes, par plus index return, capped at 7%; otherwise, par any gain, capped at 7% and floor of par
|
| Initial index level: | 2,854.27
|
| Knock-out buffer: 36.2% of initial level
|
| Pricing date: | Aug. 16
|
| Settlement date: | Aug. 21
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48126NNQ6
|
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