By Susanna Moon
Chicago, March 15 - JPMorgan Chase & Co. priced $1.58 million of 0% capped daily observation knock-out notes due March 28, 2012 linked to General Motors Co. shares, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if General Motors stock ever 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 stock return, with exposure to any losses.
Otherwise, the payout will be par plus any stock gain, with a minimum return of 10%.
In either case, the maximum return will be $1,251.50 per $1,000 principal amount.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Capped daily observation knock-out notes
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Underlying stock: | General Motors Co. (NYSE: GM)
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Amount: | $1,576,000
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Maturity: | March 28, 2012
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If stock closes below 75% of initial share price during life of notes, par plus stock return with exposure to losses; otherwise, par plus any gain, floor of 10%; in either case, gains capped at 25.15%
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Initial share price: | $31.93
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Pricing date: | March 11
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Settlement date: | March 16
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48125XHE9
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