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JPMorgan plans to price capped knock-out notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., May 15 - JPMorgan Chase & Co. plans to price 0% capped knock-out notes due June 5, 2013 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 falls by more than the knock-out buffer amount, 23.5%, 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 the contingent minimum return. In each case, the payout will be subject to a maximum return.
The contingent minimum return is expected to be at least 5%. The maximum return is expected to be at least 15%. Both will be set at pricing.
The notes (Cusip: 48125VYY0) are expected to price May 18 and settle May 23.
J.P. Morgan Securities LLC is the agent.
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