By Toni Weeks
San Luis Obispo, Calif., March 3 – JPMorgan Chase & Co. priced $6.43 million 0% dual directional knock-out buffered equity notes due Aug. 31, 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 level by more than the knock-out buffer amount of 23.85% on any day during the life of the notes.
If the final index level is greater than or equal to the initial level, the payout at maturity will be par plus 100% of the index return, subject to a maximum return of 23.85%.
If the final index level is less than the initial level and a knock-out event has not occurred, the payout will be par plus the absolute return of the index return.
If the final index level is less than the initial level and a knock-out event has occurred, investors will receive par plus the index return, with full exposure to the index decline from its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional knock-out buffered equity notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $6.43 million
|
| Maturity: | Aug. 31, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index return is positive, par plus 100% of the index return, capped at 23.85%; if index return is negative and a knock-out event has not occurred, par plus absolute return of index return; if index return is negative and a knock-out event has occurred, par plus the index return, with full exposure to index decline from its initial level
|
| Knock-out event: | If index closing level is less than initial level by more than 23.85% on any day during life of notes
|
| Initial index level: | 3,599.0
|
| Pricing date: | Feb. 27
|
| Settlement date: | March 4
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.25%
|
| Cusip: | 48125UGC0
|
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