By Susanna Moon
Chicago, June 17 - JPMorgan Chase & Co. priced $737,000 of 0% dual directional knock-out buffered equity notes due June 17, 2015 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 fund ever falls by more than 23.1% on any day during the life of the notes.
If the fund finishes at or above the index level, the payout at maturity will be par plus any gain.
If the fund finishes below the initial level and a knock-out event never occurs, the payout will be par plus the absolute value of the return.
Otherwise, investors will be fully exposed to any losses.
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: | $737,000
|
| Maturity: | June 17, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If fund gains, par plus return; if shares fall but never closes below knock-in level, par plus absolute value of return; otherwise, full exposure to any losses
|
| Initial level: | $39.93
|
| Knock-in level: | 76.9% of initial level
|
| Pricing date: | June 13
|
| Settlement date: | June 18
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48126NDE4
|
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