By Marisa Wong
Madison, Wis., Oct. 7 – JPMorgan Chase & Co. priced $505,000 of 0% capped dual directional knock-out buffered equity notes due April 6, 2017 linked to the lesser performing 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 final level of either index is less than its initial index level by more than 35%.
If the final level of each index is greater than or equal to its initial level, the payout at maturity will be par plus the return of the lesser-performing index, subject to a maximum upside return of 20.5%.
If the final level of either index is less than its initial level but a knock-out event has not occurred, the payout will be par plus the absolute value of the return of the lesser-performing index.
If a knock-out event has occurred, investors will be fully exposed to the decline of the lesser-performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped dual directional knock-out buffered equity notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $505,000
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| Maturity: | April 6, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If final level of each index is greater than or equal to initial level, par plus return of lesser-performing index, capped at 20.5%; if final level of either index is less than initial level but knock-out event has not occurred, par plus absolute value of return of lesser-performing index; if knock-out event has occurred, full exposure to decline of lesser-performing index
|
| Knock-out event: | Final level of either index is less than initial index level by more than 35%
|
| Initial index levels: | 1,946.16 for S&P 500 and 1,085.409 for Russell 2000
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| Pricing date: | Oct. 1
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| Settlement date: | Oct. 6
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| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.25%
|
| Cusip: | 48127DG93
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