By Susanna Moon
Chicago, Aug. 14 – JPMorgan Chase & Co. priced $3 million of 0% capped dual directional contingent buffered equity notes due Feb. 23, 2017 linked to the S&P 500 index, according to a 424B2 with the Securities and Exchange Commission.
If the index finishes above its initial level, the payout at maturity will be par plus any index gain, up to a maximum return of 14.45%.
If the index falls by up to 14.45%, the payout will be par plus the absolute value of the index return.
Otherwise, the payout will be par plus the return, with full exposure to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Capped dual directional contingent buffered equity notes
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| Underlying index: | S&P 500
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| Amount: | $3 million
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| Maturity: | Feb. 23, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If index gains, par plus any return, capped at 14.45%; if index falls by up to 14.45%, par plus absolute value of index return; otherwise, par plus the return, with full exposure to any losses
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| Initial level: | 2,084.07
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| Contingent buffer: | 14.45%
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| Pricing date: | Aug. 11
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| Settlement date: | Aug. 14
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.25%
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| Cusip: | 48125UL91
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