By Jennifer Chiou
New York, Nov. 15 - JPMorgan Chase & Co. priced $2.51 million of 0% capped index knock-out notes due Dec. 1, 2011 linked to the S&P MidCap 400 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than 25% during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the index return, which could be positive or negative.
If a knock-out event does not occur, the payout will be par plus the greater of the index return and 1.8%.
In either case, the payout is subject to a maximum return of 20%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index knock-out notes
|
| Underlying index: S&P MidCap 400
|
| Amount: | $2,506,000
|
| Maturity: | Dec. 1, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 25% during life of notes, par plus index return with exposure to losses; otherwise, par plus greater of index return and 1.8%; return capped at 20% in each case
|
| Initial index level: 858.49
|
| Pricing date: | Nov. 10
|
| Settlement date: | Nov. 16
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48124A2F3
|
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