By Toni Weeks
San Diego, March 6 - JPMorgan Chase & Co. priced $17.02 million of 0% dual directional knock-out buffered equity notes due March 20, 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's closing level is less than the initial index level by more than 19.6% on any day during the life of the notes.
If the final index level is greater than the initial index level, the payout at maturity will be par plus the lesser of the 15% maximum upside return and the index return.
If the final index level is equal to the initial index level, the payout will be par.
If the final index level is less than the initial index level and a knock-out event has not occurred, the payout will be par plus the absolute value of the index return.
If the final index level is less than the initial index level and a knock-out event has occurred, investors will be fully exposed to the index level decline.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional knock-out buffered equity notes
|
| Underlying index: | S&P 500
|
| Amount: | $17,019,000
|
| Maturity: | March 20, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than initial index level, par plus lesser of 15% and index return; if final index level is less than initial index level and knock-out event has not occurred, par plus absolute value of index return; if final index level is less than initial index level and knock-out event has occurred, full exposure to index's decline
|
| Knock-out event: | If index closing level is less than initial level by more than 19.6% on any day during life of notes
|
| Initial index level: | 1,369.63
|
| Pricing date: | March 2
|
| Settlement date: | March 7
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VPJ3
|
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