By Jennifer Chiou
New York, April 29 - JPMorgan Chase & Co. priced $5,041,000 of 0% return notes due May 13, 2015 linked to an equally weighted basket of the MSCI Italy SMID Cap index and the MSCI Spain SMID Cap index, according to a 424B2 filing with the Securities and Exchange Commission.
For each $1,000 principal amount of notes, the payout at maturity will be (a) $1,000 multiplied by (b) one plus the basket return multiplied by (c) a basket adjustment factor of 99%. Because of the basket adjustment factor, investors will lose some or all of their principal if the basket return is less than 1.01%.
The final basket level will be the average of the basket's closing levels on the five trading days ending May 8, 2015.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Return notes
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Underlying indexes: | MSCI Italy SMID Cap index and MSCI Spain SMID Cap index, equally weighted
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Amount: | $5,041,000
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Maturity: | May 13, 2015
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | 99% of sum of par plus basket return
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Initial index levels: | 539.74 for Italy index and 586.75 for Spain index
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Pricing date: | April 25
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Settlement date: | April 30
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.75%
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Cusip: | 48127DFQ6
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