By Toni Weeks
San Luis Obispo, Calif., June 25 - JPMorgan Chase & Co. priced $1.82 million of 0% knock-out buffered equity notes due March 28, 2016 linked to an equally weighted basket consisting 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 closing basket level is less than the initial basket level by more than 40% on any day during the life of the notes.
If the final basket level is greater than the initial basket level, the payout at maturity will be par plus the basket return.
If the final basket level is less than or equal to the initial level and a knock-out event has not occurred, the payout will be par.
If the final basket level is less than the initial level and a knock-out event has occurred, investors will be fully exposed to the basket's decline from its initial level.
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: | $1.82 million
|
| Maturity: | March 28, 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
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| Knock-out event: | Basket's closing level declines by more than 40% during life of notes
|
| Initial index levels: | 1,592.43 for S&P 500 and 963.68 for Russell 2000
|
| Pricing date: | June 21
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| Settlement date: | June 28
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| Agent: | J.P. Morgan Securities Inc.
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| Cusip: | 48126NFU6
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