JPMorgan amends maturity for knock-out digital notes on indexes, ETF

By Marisa Wong

Madison, Wis., May 21 - JPMorgan Chase & Co. updated the maturity, pricing and settlement dates for its planned 0% knock-out digital notes linked to the least performing of the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to an amended FWP filing with the Securities and Exchange Commission.

The notes, now due June 19, 2015, will price on June 14 and settle on June 19. The notes previously had a maturity date of May 29, 2015 and were slated to price on May 28 and settle May 31.

A knock-out event occurs if any index closes below its initial level by more than 45% on any day during the life of the notes.

If a knock-out event does not occur, the payout at maturity will be par plus the digital return. The digital return is expected to be 24% to 28% and will be set at pricing.

If a knock-out event occurs but the final level of each index is greater than or equal to its initial level, the payout will be par.

Otherwise, investors will be fully exposed to the decline of the worst-performing index from its initial level.

J.P. Morgan Securities LLC is the agent.

The Cusip number is 48126NAG2.

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