By Angela McDaniels
Tacoma, Wash., April 2 – JPMorgan Chase & Co. priced $500,000 of 0% dual directional knock-out buffered equity notes due April 4, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-out event occurs if the final level of either index is less than its initial index level by more than 40%.
If the final level of each index is greater than or equal to its initial level, the payout at maturity will be par plus 109% of the return of the lesser-performing index.
If the final level of either index is less than its initial level but a knock-out event has not occurred, the payout will be par plus the absolute value of the return of the lesser-performing index.
If a knock-out event has occurred, investors will be fully exposed to the decline of the lesser-performing index.
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: | $500,000
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Maturity: | April 4, 2019
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If final level of each index is greater than or equal to initial level, par plus 109% of return of lesser-performing index; if final level of either index is less than initial level but knock-out event has not occurred, par plus absolute value of return of lesser-performing index; if knock-out event has occurred, full exposure to decline of lesser-performing index
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Knock-out event: | Final level of either index is less than initial index level by more than 40%
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Initial index levels: | 2,086.24 for S&P 500 and 1,257.802 for Russell 2000
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Pricing date: | March 30
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Settlement date: | April 2
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.5%
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Cusip: | 48125UME9
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