By Angela McDaniels
Tacoma, Wash., Aug. 20 – JPMorgan Chase & Co. priced $1 million of 0% return notes due March 1, 2017 linked to the MDAX index converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The initial index level and the final index level are converted into dollars from euros at the exchange rate then in effect.
For each $1,000 principal amount of notes, the payout at maturity will be (a) $1,000 multiplied by (b) one plus the index return multiplied by (c) 97.7%. Because of the 97.7% adjustment factor, investors will lose principal at maturity if the index return is less than 2.35415%.
The MDAX is a capital-weighted, total return index that comprises 50 mid-cap issuers based in Germany from sectors other than technology sectors.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | MDAX index converted into dollars
|
| Amount: | $1 million
|
| Maturity: | March 1, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | (a) $1,000 multiplied by (b) one plus index return multiplied by (c) 97.7%
|
| Initial index level: | 22,866.35181, set using closing index level of 20,721.66 and exchange rate of 1.1035 dollars per euro
|
| Pricing date: | Aug. 18
|
| Settlement date: | Aug. 21
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.25%
|
| Cusip: | 48125UN81
|
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