By Angela McDaniels
Tacoma, Wash., April 28 - JPMorgan Chase & Co. priced $375,000 of 0% dual directional knock-out buffered equity notes due April 28, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the ETF's closing share price is less than the initial share price by more than 21% on any day during the life of the notes.
If the final share price is greater than the initial share price, the payout at maturity will be par plus the ETF return.
If the final share price is equal to the initial share price, the payout will be par.
If the final share price is less than the initial share price and a knock-out event has not occurred, the payout will be par plus the absolute value of the ETF return.
If the final share price is less than the initial share price and a knock-out event has occurred, investors will be fully exposed to the share price decline.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional knock-out buffered equity notes
|
| Underlying ETF: | iShares MSCI Emerging Markets
|
| Amount: | $375,000
|
| Maturity: | April 28, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final share price is greater than initial share price, par plus ETF return; if final share price is equal to initial share price, par; if final share price is less than initial share price and knock-out event has not occurred, par plus absolute value of ETF return; if final share price is less than initial share price and knock-out event has occurred, full exposure to share price decline
|
| Knock-out event: | ETF's closing share price is less than initial share price by more than 21% on any day during life of notes
|
| Initial share price: | $41.36
|
| Pricing date: | April 24
|
| Settlement date: | April 29
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48127DEV6
|
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