By Susanna Moon
Chicago, May 22 - JPMorgan Chase & Co. priced $1.89 million of 0% capped dual directional knock-out buffered return enhanced notes due Nov. 25, 2015 linked to the worse performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.
A knock-out event occurs if either component closes below the initial level by more than the 30% knock-out buffer on any day during the life of the notes.
If each component finishes at or above the initial level, the payout at maturity will be par plus 1.25 times the return of the worse performing component, up to the maximum upside return of 27%.
If either component falls but a knock-out event never occurs, the payout will be par plus the absolute value of the return of the worse performing component.
Otherwise, investors will be fully exposed to any losses of the worse performing component.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Capped dual directional knock-out buffered return enhanced notes
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Underlyings: | Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund
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Amount: | $1,894,000
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Maturity: | Nov. 25, 2015
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If each component gains, par plus 125% of return of worse performing component, capped at 27%; if either component falls but never closes below knock-out level, par plus absolute value of return of worse performing component; otherwise, full exposure to any losses of worse performing component
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Knock-out levels: | 70% of initial level
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Pricing date: | May 20
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Settlement date: | May 23
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Agent: | J.P. Morgan Securities LLC
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Fees: | 0.1%
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Cusip: | 48127DHC5
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