By Marisa Wong
Madison, Wis., Dec. 3 – JPMorgan Chase & Co. priced $311,000 of 0% dual directional knock-out buffered return enhanced notes due Nov. 30, 2017 linked to the worse 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 either component finishes below the initial level by more than the 25% knock-out buffer.
If each component finishes at or above the initial level, the payout at maturity will be par plus 1.1 times the gain of the worse performing component.
If either component falls but finishes above the knock-out level, the payout will be par plus the absolute value of the return of the worse performing component.
Otherwise, investors will be fully exposed to any losses of the worse performing component.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional knock-out buffered return enhanced notes
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| Underlyings: | S&P 500 index and the Russell 2000 index
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| Amount: | $311,000
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| Maturity: | Nov. 30, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each component gains, par plus 1.1 times return of worse performing component; if either component falls but finishes above knock-out level, par plus absolute value of return of worse performing component; otherwise, full exposure to any losses of worse performing component
|
| Initial levels: | 2,069.41 for S&P 500 and 1,186.940 for Russell 2000
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| Knock-out levels: | 75% of initial levels
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| Pricing date: | Nov. 24
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| Settlement date: | Nov. 28
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.125%
|
| Cusip: | 48127DT32
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