By Susanna Moon
Chicago, Nov. 13 - JPMorgan Chase & Co. priced $1.1 million of 0% knock-out buffered equity notes due Aug. 15, 2016 linked to a basket of two indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket contains the S&P 500 index and the Russell 2000 index, equally weighted.
A knock-out event occurs if the basket closes below the 60% knock-in level on any day during the life of the notes.
If the basket finishes above its initial level, the payout at maturity will be par plus the basket gain.
If the basket finishes below its initial level but a knock-out event has not occurred, the payout will be par.
Otherwise, investors will be fully exposed to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Knock-out buffered equity notes
|
| Underlying indexes: | S&P 500 and Russell 2000, equally weighted
|
| Amount: | $1.1 million
|
| Maturity: | Aug. 15, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket gains, par plus return; if basket falls but never dips below knock-out level, par; otherwise, full exposure to any losses
|
| Initial index levels: | 1,770.61 for S&P and 1,099.97 for Russell
|
| Knock-out level: | 60% of initial basket level
|
| Pricing date: | Nov. 8
|
| Settlement date: | Nov. 14
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | None
|
| Cusip: | 48126NA49
|
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