Published on 5/17/2011 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $4.03 million capped daily observation knock-out notes linked to Citigroup
By Angela McDaniels
Tacoma, Wash., May 17 - JPMorgan Chase & Co. priced $4.03 million of 0% capped daily observation knock-out notes due May 31, 2012 linked to the common stock of Citigroup Inc., according to a 424B2 filing with the Securities and Exchange Commission.
If the price of Citigroup stock falls by more than 26.09% during the life of the notes, the payout at maturity will be par plus the stock return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the stock return and 5%.
In each case, the return will be capped at 20%.
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: | Citigroup Inc. (NYSE: C)
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Amount: | $4,026,000
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Maturity: | May 31, 2012
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If Citigroup stock falls by more than 26.09% during life of notes, par plus stock return; otherwise, par plus greater of stock return and 5%; in either case, return capped at 20%
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Initial share price: | $41.53
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Pricing date: | May 13
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Settlement date: | May 18
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48125XQN9
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