By Marisa Wong
Madison, Wis., Aug. 19 - JPMorgan Chase & Co. priced $5 million of 0% digital market plus notes due Dec. 22, 2011 linked to the front month Brent crude oil futures contract, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the final contract price is less than the initial price by more than 20%. The final contract price will be the average of the contract prices on the five consecutive trading dates ending Dec. 19.
If a knock-out event has occurred, the payout will be par plus the contract return, with full exposure to losses.
If a knock-out event has not occurred, investors will receive par plus a contingent return of 5.85%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Digital market plus notes
|
| Underlying commodity: | Front month Brent crude oil futures contract
|
| Amount: | $5 million
|
| Maturity: | Dec. 22, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final price is less than initial price by more than 20%, par plus contract return with exposure to losses; otherwise, par plus 5.85%
|
| Initial price: | $110.60
|
| Pricing date: | Aug. 17
|
| Settlement date: | Aug. 22
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.3%
|
| Cusip: | 48125XQ66
|
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