By Toni Weeks
San Luis Obispo, Calif., Feb. 11 - JPMorgan Chase & Co. priced $2.11 million of 0% dual directional knock-out buffered equity notes due Feb. 12, 2018 linked to the lesser-performing of the iShares MSCI EAFE exchange-traded fund and iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the final share price of either fund is less than its initial price by more than the knock-out buffer of 47%.
If both funds finish at or above their initial levels, the payout at maturity will be par plus the return of the lesser-performing fund.
If the final price of either fund is less than its initial price but a knock-out event has not occurred, the payout will be par plus the absolute return of the lesser-performing fund.
Otherwise, investors will be fully exposed to the decline of the lesser-performing fund.
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 ETFs: iShares MSCI EAFE ETF and iShares MSCI Emerging Markets
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Amount: | $2.19 million
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Maturity: | Feb. 12, 2018
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If both funds finish at or above initial levels, par plus return of lesser-performing fund; if final price of either fund is less than initial price but a knock-out event has not occurred, par plus absolute return of lesser-performing fund; otherwise, full exposure to decline of lesser-performing fund
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Initial prices: | $65.12 for iShares MSCI EAFE, $38.74 for iShares MSCI EM
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Knock-out level: | 53% of initial level
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Pricing date: | Feb. 7
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Settlement date: | Feb. 12
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Agent: | J.P. Morgan Securities LLC
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Fees: | None
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Cusip: | 48126N2J5
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