By Susanna Moon
Chicago, May 27 - JPMorgan Chase & Co. priced $985,000 of 0% dual directional knock-out buffered equity notes due May 26, 2016 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-out event occurs if the index closes below the initial level by more than the 19% knock-out buffer on any day during the life of the notes.
If the index finishes at or above the initial level, the payout at maturity will be par plus the return.
If the index falls but a knock-out event never occurs, the payout will be par plus the absolute value of the return.
Otherwise, investors will be fully exposed to any losses.
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 index: | S&P 500 index
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Amount: | $985,000
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Maturity: | May 26, 2016
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus return if index gains; if index falls but never closes below knock-out level, par plus absolute value of return; otherwise, full exposure to any losses
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Initial level: | 1,892.49
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Knock-out level: | 81% of initial level
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Pricing date: | May 22
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Settlement date: | May 28
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Agent: | J.P. Morgan Securities LLC
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Fees: | None
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Cusip: | 48127DHV3
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