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JPMorgan plans capped market plus notes on S&P GSCI Brent Crude Oil
By Marisa Wong
Madison, Wis., May 23 - JPMorgan Chase & Co. plans to price 0% capped market plus notes due June 7, 2012 linked to the S&P GSCI Brent Crude Oil Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.
If the index falls to or below 70% of the initial level on any day during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the index return and a contingent minimum return of at least 10% that will be set at pricing.
In either case, the payout will be subject to a maximum return of at least 16.4% that will be set at pricing.
The notes (Cusip: 48125XSQ0) are expected to price on May 27 and settle on June 2.
J.P. Morgan Securities LLC is the agent.
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