New York, Dec. 24 – JPMorgan Chase & Co. priced $430,000 of 0% capped index knock-out notes due Jan. 6, 2016 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index closes below the initial index level by more than 15% on any day during the life of the notes.
If a knock-out event does not occur, the payout at maturity will be par plus the contingent digital return of 12.8%.
Otherwise, investors will receive par plus the index return, with exposure to any losses and any gains capped at 12.8%.
The final index level will be the average of its levels on Dec. 24, 2015, Dec. 28, 2015, Dec. 29, 2015, Dec. 30, 2015 and Dec. 31, 2015.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Capped index knock-out notes
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| Underlying index: | Euro Stoxx 50
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| Amount: | $430,000
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| Maturity: | Jan. 6, 2016
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If index never dips below knock-out level, par plus 12.8%; otherwise, exposure to any losses and any gains capped at 12.8%
|
| Knock-out level: | 85% of initial level
|
| Pricing date: | Dec. 19
|
| Settlement date: | Dec. 24
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48127DS35
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