By Toni Weeks
San Diego, March 6 - JPMorgan Chase & Co. priced $3.6 million of 0% dual directional knock-out buffered equity notes due March 20, 2013 linked to the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the closing share price is less than the initial price by more than 21% on any day during the life of the notes.
If the final share price is greater than the initial price, the payout at maturity will be par plus the lesser of the 21% maximum upside return and the fund return.
If the final share price is equal to the initial price, the payout will be par.
If the final share price is less than the initial price and a knock-out event has not occurred, the payout will be par plus the absolute value of the fund return.
If the final share price is less than the initial price and a knock-out event has occurred, investors will be fully exposed to the decline in the share price.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional knock-out buffered equity notes
|
| Underlying fund: | iShares MSCI Emerging Markets index fund
|
| Amount: | $3.6 million
|
| Maturity: | March 20, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final share price is greater than initial price, par plus lesser of 21% and fund return; if final share price is less than initial price and knock-out event has not occurred, par plus absolute value of fund return; if final share price is less than initial price and knock-out event has occurred, full exposure to fund's decline
|
| Knock-out event: | If final share price is less than initial price by more than 21% on any day during life of notes
|
| Initial price: | $44.64
|
| Pricing date: | March 2
|
| Settlement date: | March 7
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VQS2
|
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