By Jennifer Chiou
New York, Sept. 20 - JPMorgan Chase & Co. priced $1,718,000 of 0% knock-out buffered equity notes due June 23, 2016 linked to a basket containing equal weights of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the basket closes below the 60% knock-in level on any day during the life of the notes.
If the basket return is positive, the payout at maturity will be par plus the basket return.
If the basket return is zero or negative but a knock-out event has not occurred, the payout will be par.
If the basket return is negative and a knock-out event has occurred, investors will be fully exposed to losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Knock-out buffered equity notes
|
| Underlying indexes: | S&P 500 and Russell 2000, equally weighted
|
| Amount: | $1,718,000
|
| Maturity: | June 23, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final basket level is greater than initial basket level, par plus basket return; if final basket level is less than or equal to initial level and knock-out event has not occurred, par; if final basket level is less than initial level and knock-out event has occurred, full exposure to basket's decline from initial level
|
| Knock-out event: | Basket's closing level declines by more than 40% during life of notes
|
| Initial index levels: | 1,725.52 for S&P 500 and 1,076.97 for Russell 2000
|
| Pricing date: | Sept. 18
|
| Settlement date: | Sept. 23
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | None
|
| Cusip: | 48126NSQ1
|
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