By Marisa Wong
Madison, Wis., April 3 - JPMorgan Chase & Co. priced $9.6 million of 0% dual directional notes due April 11, 2013 linked to the first nearby month futures contract for Brent crude oil, according to a 424B2 filing with the Securities and Exchange Commission.
If the final contract price is greater than or equal to the initial contract price, the payout at maturity will be par plus the contract return, subject to a maximum return of 16.25%.
If the final contract price is less than the initial price by up to 25%, the payout will be par plus the absolute value of the contract return.
If the final contract price is less than the initial price by more than 25%, the payout will be par plus the contract return. Investors will be fully exposed to losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional notes
|
| Underlying asset: | First nearby month futures contract for Brent crude oil
|
| Amount: | $9,596,000
|
| Maturity: | April 11, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final contract price is greater than or equal to initial price, par plus contract return, return capped at 16.25%; if final price is less than initial price by up to 25%, par plus absolute value of contract return; if final price is less than initial price by more than 25%, par plus return with full exposure to losses
|
| Initial price: | $122.99
|
| Pricing date: | March 30
|
| Settlement date: | April 4
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VUD0
|
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