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JPMorgan plans capped index knock-out notes linked to S&P 500
By Jennifer Chiou
New York, Sept. 27 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Oct. 17, 2012 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 18%.
In either case, the payout is subject to a maximum return of at least 20%.
The exact contingent minimum return and cap will be fixed at pricing.
The notes (Cusip: 48125X3Z7) will price on Sept. 30 and settle on Oct. 5.
J.P. Morgan Securities LLC is the agent.
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