By Marisa Wong
Madison, Wis., April 15 - JPMorgan Chase & Co. priced $10 million of 0% capped daily observation knock-out notes due April 29, 2015 linked to 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 the fund falls by more than the 30% knock-out buffer on any day during the life of the notes.
If a knock-out event never occurs, the payout at maturity will be par plus the contingent digital return of 12.3%.
Otherwise, the payout at maturity will be par plus the return, with any gains capped at 12.3% and exposure to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped daily observation knock-out notes
|
| Underlying fund: | Market Vectors Gold Miners ETF
|
| Amount: | $10 million
|
| Maturity: | April 29, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If fund never dips below knock-out level, par plus 12.3%; otherwise, par plus return with full exposure to any losses and gains capped at 12.3%
|
| Initial index level: | $24.22
|
| Knock-out level: | 70% of initial level
|
| Pricing date: | April 11
|
| Settlement date: | April 16
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48127DET1
|
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