By Angela McDaniels
Tacoma, Wash., March 13 - JPMorgan Chase & Co. priced $14.32 million of 0% dual directional knock-out buffered equity notes due March 27, 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 22.2% 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 15% 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: | $14,315,000
|
| Maturity: | March 27, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than initial level, plus lesser of 15% and index return; if final level is less than initial 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 decline
|
| Knock-out event: | Index's closing level is less than initial index level by more than 22.2% on any day during life of notes
|
| Initial index level: | 1,370.87
|
| Pricing date: | March 9
|
| Settlement date: | March 14
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VRL6
|
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