By Angela McDaniels
Tacoma, Wash., Nov. 17 - JPMorgan Chase & Co. priced $859,000 of 0% capped market plus notes due Nov. 28, 2011 linked to the S&P GSCI Crude Oil Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
If the index falls to or below 75% of the initial level on any day during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the index return and 3%.
In each case, the payout will be subject to a maximum return of 14.1%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped market plus notes
|
| Underlying index: | S&P GSCI Crude Oil Index Excess Return
|
| Amount: | $859,000
|
| Maturity: | Nov. 28, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls to or below 75% of initial level during life of notes, par plus index return; otherwise, par plus greater of index return and 3%; return capped at 14.1% in each case
|
| Initial index level: | 518.9985
|
| Pricing date: | Nov. 15
|
| Settlement date: | Nov. 17
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48124AZ83
|
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