By Jennifer Chiou
New York, Aug. 12 – JPMorgan Chase & Co. priced $1.53 million of 0% capped knock-in return enhanced notes due Aug. 26, 2015 linked to Apple Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if the closing share price is equal to or less than the knock-in level, 95% of the initial price, on any day from the pricing date to and including Nov. 10, 2014.
If the final price is greater than the initial level and a knock-in event has occurred, the payout at maturity will be par plus 300% of the index return, subject a maximum return of 35.25%.
If the final price is greater than the initial level and a knock-in event has not occurred, the payout will be par plus 200% of the index return, subject a maximum return of 23.5%.
If the final price is equal to the initial stock price, the payout will be par.
Investors will be fully exposed to any losses.
The final share price will be the average of the closing share prices on the five trading days ending Aug. 21, 2015.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Capped knock-in return enhanced notes
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| Underlying stock: | Apple Inc. (Nasdaq: AAPL)
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| Amount: | $1.53 million
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| Maturity: | Aug. 26, 2015
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final price is greater than the initial level and a knock-in event has occurred, par plus 300% of return, capped at 35.25%.return; if final price is greater than the initial level and a knock-in event has not occurred, par plus 200% of return, capped at 23.5%; full exposure to losses
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| Initial price: | $94.74
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| Knock-in level: | 95% of initial level
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| Knock-in event: | Closing share price is equal to or less than the knock-in level on any day from the pricing date to and including Nov. 10, 2014
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| Pricing date: | Aug. 8
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| Settlement date: | Aug. 13
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48127DWF1
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