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JPMorgan plans to price capped index knock-out notes tied to S&P 500
By Toni Weeks
San Diego, Aug. 7 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Aug. 28, 2013 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than 20.15% from the initial level during the life of the notes.
If a knock-out event does not occur, the payout at maturity is par plus the contingent digital return of at least 10%.
If a knock-out event occurs, the payout at maturity is par plus the index return, subject to a maximum return of at least 10%, or $1,100 per $1,000 of notes.
The exact terms will be set at pricing.
The notes (Cusip: 48125V2L3) are expected to price Aug. 10 and settle Aug. 15.
J.P. Morgan Securities LLC will act as agent.
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