By Susanna Moon
Chicago, Oct. 4 - JPMorgan Chase & Co. priced $80.98 million of 0% capped index knock-out notes due Oct. 17, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index ever closes below 80% from the initial level.
If a knock-out event occurs, the payout at maturity will be par plus the index return, with exposure to losses.
If a knock-out event does not occur, the payout will be par plus any index gain with a contingent minimum return of 18%.
The maximum payment will be $1,200 for each $1,000 principal amount.
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: | S&P 500
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Amount: | $80,975,000
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Maturity: | Oct. 17, 2012
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index ever falls by more than 20%, par plus index return with exposure to losses; otherwise, par plus index gain, floor of 18%; return capped at 20% in each case
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Initial index level: | 1,131.42
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Pricing date: | Sept. 30
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Settlement date: | Oct. 5
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48125X3Z7
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