By Toni Weeks
San Diego, Oct. 4 - JPMorgan Chase & Co. priced $2.13 million of 0% capped single observation index fund knock-out notes due Oct. 17, 2012 linked to the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the fund falls by more than 25% from the initial level on the Oct. 12, 2012 observation date, which is the final observation date.
If a knock-out event does not occur, the payout at maturity is par plus the fund return, subject to a contingent minimum return of 15.3% and a maximum return of 25%.
If a knock-out event occurs, the payout at maturity will be par plus the fund return. Investors will be fully exposed to losses.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Capped single observation index fund knock-out notes
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Underlying fund: | Market Vectors Gold Miners exchange-traded fund
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Amount: | $2,127,000
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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 fund falls by more than 25% from initial level on Oct. 12, 2012, full exposure to losses; if knock-out event does not occur, par plus fund return, with floor of 15.3% and cap of 25%
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Initial price: | $55.19
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Knock-out buffer: | 25% of initial level
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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: | 48125X4B9
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