By Toni Weeks
San Luis Obispo, Calif., Feb. 7 - JPMorgan Chase & Co. priced $3 million of 0% capped knock-out buffered notes due April 6, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index ever falls by more than the 19% knock-out percentage on any day during the life of the notes.
If the index finishes above its initial level, the payout at maturity will be par plus the gain, subject to a maximum return of 18.5%.
If the index falls but a knock-out event never occurs, the payout at maturity will be par.
Otherwise, investors will be fully exposed to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped knock-out buffered notes
|
| Underlying index: | S&P 500
|
| Amount: | $3 million
|
| Maturity: | April 6, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index gains, par plus the return, subject to maximum return of 18.5%; if index falls but never closes below knock-out level, par; otherwise, full exposure to any losses
|
| Initial index level: | 1,751.64
|
| Knock-out level: | 81% of initial level
|
| Pricing date: | Feb. 5
|
| Settlement date: | Feb. 10
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.15%
|
| Cusip: | 48126N3P0
|
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