By Susanna Moon
Chicago, May 8 - JPMorgan Chase & Co. priced $1 million of 0% capped knock-out buffered notes due May 11, 2016 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes above its initial level, the payout at maturity will be par plus the gain of the worse performing index, up to a maximum return of 30%.
If each index falls by up to 30.55%, the payout at maturity will be par.
Otherwise, investors will be fully exposed to any losses of the worse performing index.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped knock-out buffered equity notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $1 million
|
| Maturity: | May 11, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each index gains, par plus the return of worse performing index, capped at 30%; if each index falls by up to knock-out level, par; otherwise, full exposure to any losses of worse performing index
|
| Initial index level: | 1,867.72
|
| Knock-out buffer: 30.55% of initial level
|
| Pricing date: | May 6
|
| Settlement date: | May 9
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48127DHN1
|
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