By Angela McDaniels
Tacoma, Wash., Jan. 20 - JPMorgan Chase & Co. priced $5.02 million of 0% knock-out digital notes due Feb. 22, 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 component declines by more than 40% during the life of the notes.
If a knock-out event does not occur, the payout at maturity will be par plus 20.3%.
If a knock-out event occurs and each component's final level is greater than or equal to its initial level, the payout will be par plus 1%.
If a knock-out event occurs and either component's final level is less than its initial level, investors will receive par plus the return of the worst-performing component plus 1%.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Knock-out digital notes
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Underlying components: | Russell 2000 index and Market Vectors Gold Miners ETF
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Amount: | $5,018,000
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Maturity: | Feb. 22, 2013
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If knock-out event does not occur, par plus 20.3%; if knock-out event occurs and both components finish at or above initial levels, par plus 1%; if knock-out event occurs and either component finishes below initial level, par plus return of worst-performing component plus 1%
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Knock-out event: | Either component declines by more than buffer amount during life of notes
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Initial levels: | 779.26 for index and $53.24 for ETF
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Buffer amounts: | 311.704 for index and $21.296 for ETF; 40% of initial levels
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Pricing date: | Jan. 18
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Settlement date: | Jan. 23
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.5%
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Cusip: | 48125VJQ4
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