By Marisa Wong
Madison, Wis., June 2 - JPMorgan Chase & Co. priced $3.3 million of 0% capped single observation index knock-out notes due June 10, 2015 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the final index level is less than the initial level by more than 20%.
If a knock-out event does not occur, the payout at maturity is par plus the 4.85% contingent digital return.
If a knock-out event occurs, the payout is par plus the index return, with full exposure to losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped single observation knock-out notes
|
| Underlying index: | Russell 2000
|
| Amount: | $3.3 million
|
| Maturity: | June 10, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 20%, par plus index return; otherwise, par plus 4.85%
|
| Initial index level: | 1,140.070
|
| Knock-out buffer: 20% of initial level
|
| Pricing date: | May 29
|
| Settlement date: | June 3
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48127DLF3
|
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