New Issue: JPMorgan sells $1.14 million digital dual directional notes on S&P 500

By Marisa Wong

Morgantown, W.Va., Oct. 22 – JPMorgan Chase & Co. priced $1.14 million of 0% digital dual directional notes due Oct. 24, 2017 linked to the S&P 500 index, according to a 424B2 with the Securities and Exchange Commission.

If the index finishes at or above its initial level, the payout at maturity will be par plus a fixed return of 15.5%.

If the index finishes below the initial level but never closes below the initial level by more than 30% during the life of the notes, 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.
Issue:	Digital dual directional notes
Underlying index:	S&P 500 index
Amount:	$1,135,000
Maturity:	Oct. 24, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If index gains or finishes flat, par plus 15.5%; if index finishes below initial level but never closes below initial level by more than 30%, par plus absolute value of index return; otherwise, par plus the return, with full exposure to any losses
Initial level:	2,033.66
Contingent buffer:	30%
Pricing date:	Oct. 19
Settlement date:	Oct. 22
Agent:	J.P. Morgan Securities LLC
Fees:	0.17313%
Cusip:	48125U7G1

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