By Toni Weeks
San Luis Obispo, Calif., July 2 - JPMorgan Chase & Co. priced $11.38 million of 0% capped index knock-out notes due July 16, 2014 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than 20% from the initial level during the life of the notes.
If a knock-out event does not occur, the payout at maturity is par plus the 12.15% contingent digital return.
If a knock-out event occurs, the payout at maturity is par plus the index return, with exposure to losses and subject to a maximum return of 12.15%.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Capped index knock-out notes
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Underlying index: | Euro Stoxx 50
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Amount: | $11.38 million
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Maturity: | July 16, 2014
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index falls by more than 20% during life of notes, par plus index return, capped at 12.15%; otherwise, par plus 12.15%
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Initial index level: | 2,602.59
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Knock-out buffer: | 20% of initial level
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Pricing date: | June 28
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Settlement date: | July 3
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48126NGC5
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