By Jennifer Chiou
New York, Feb. 4 – JPMorgan Chase & Co. priced $102,000 of 0% dual directional knock-out buffered equity notes due Feb. 7, 2018 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 the gain of the worse-performing component.
If either component falls but no knock-out event occurs, 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.
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Issue: | Dual directional knock-out buffered equity notes
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $102,000
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Maturity: | Feb. 7, 2018
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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 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
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Initial levels: | 2,020.85 for S&P 500 and 1,175.515 for Russell 2000
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Knock-out levels: | 75% of initial levels
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Pricing date: | Feb. 2
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Settlement date: | Feb. 5
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Agent: | J.P. Morgan Securities LLC
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Fees: | 3.625%
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Cusip: | 48125UAH5
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