By Jennifer Chiou
New York, April 11 - JPMorgan Chase & Co. priced $2.33 million of 0% capped daily observation knock-out notes due April 25, 2012 linked to the American Depositary Shares of Vale SA, according to a 424B2 filing with the Securities and Exchange Commission.
If Vale ADSs decline by more than 25% during the life of the notes, the payout at maturity will be par plus the ADS return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the ADS return and 11.15%.
In either case, the payout will be subject to a maximum return of 25%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped daily observation knock-out notes
|
| Underlying ADSs: | Vale SA (NYSE: VALE)
|
| Amount: | $2,325,000
|
| Maturity: | April 25, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If Vale ADSs decline by more than 25% during life of notes, par plus ADS return with exposure to losses; otherwise, par plus greater of ADS return and 11.15%; return capped at 25% in each case
|
| Initial ADS price: | $33.67
|
| Pricing date: | April 7
|
| Settlement date: | April 12
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XMQ6
|
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