By Jennifer Chiou
New York, Feb. 15 - JPMorgan Chase & Co. priced $3.55 million of 0% capped daily observation knock-out notes due Feb. 29, 2012 linked to the common stock of General Motors Co., according to a 424B2 filing with the Securities and Exchange Commission.
If General Motors stock closes below 75% of its initial share price on any day during the life of the notes, the payout at maturity will be par plus the stock return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the stock return and 10%.
In either case, the payout will be subject to a maximum return of 20%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped daily observation knock-out notes
|
| Underlying stock: | General Motors Co. (NYSE: GM)
|
| Amount: | $3,547,000
|
| Maturity: | Feb. 29, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If General Motors stock closes below 75% of initial share price during life of notes, par plus stock return with exposure to losses; otherwise, par plus greater of stock return and 10%; return capped at 20% in both cases
|
| Initial share price: | $36.45
|
| Pricing date: | Feb. 11
|
| Settlement date: | Feb. 16
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XEJ1
|
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