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JPMorgan to price capped index knock-out notes linked to S&P 500
By Jennifer Chiou
New York, May 4 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due May 31, 2013 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than 20% during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the index return, which could be positive or negative.
If a knock-out event does not occur, the payout will be par plus the greater of the index return and a contingent minimum return of at least 10%.
In either case, the payout is subject to a to-be-set maximum return of 17% to 22%.
The exact contingent minimum return will be fixed at pricing.
The notes (Cusip: 48125XPY6) are expected to price on May 25 and settle on May 31.
J.P. Morgan Securities LLC is the agent.
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