By Toni Weeks
San Diego, May 15 - JPMorgan Chase & Co. priced $4.86 million of 0% knock-out digital notes due June 17, 2013 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if either underlying component drops by more than 40% from the initial level on any day during the life of the notes.
If a knock-out event does not occur, the payout at maturity will be par plus the 14.2% digital return.
If a knock-out event occurs and each component finishes at or above its initial level, the payout will be par.
If a knock-out event occurs and either component's closing level has dropped below its initial level, investors will receive par plus the return of the least-performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Knock-out digital notes
|
| Underlying components: | Russell 2000 index, Market Vectors Gold Miners ETF
|
| Amount: | $4,861,000
|
| Maturity: | June 17, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If neither component falls below 60% of initial level during life of notes, par plus 14.2%; if knock-out event occurs and each component finishes at or above initial level, par; if knock-out event occurs and either component drops below initial level, par plus return of least-performing component
|
| Initial levels: | 790.06 for Russell, $42.36 for gold fund
|
| Buffer levels: | 316.024 for Russell, $16.944 for fund, 40% of initial levels
|
| Pricing date: | May 11
|
| Settlement date: | May 16
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.9%
|
| Cusip: | 48125VYA2
|
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