By Jennifer Chiou
New York, March 24 - JPMorgan Chase & Co. priced $1.03 million of 0% dual directional knock-out buffered equity notes due March 24, 2016 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index ever falls by more than 22% on any day during the life of the notes.
If the index finishes at or above the index level, the payout at maturity will be par plus any index gain.
If the index finishes below the initial level and a knock-out event never occurs, the payout will be par plus the absolute value of the index return.
Otherwise, investors will be fully exposed to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional knock-out buffered equity notes
|
| Underlying index: | S&P 500
|
| Amount: | $1.03 million
|
| Maturity: | March 24, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index gains, par plus return; if index falls but never closes below knock-in level, par plus absolute value of return; otherwise, full exposure to any losses
|
| Initial index level: | 1,872.01
|
| Knock-in level: | 78% of initial level
|
| Pricing date: | March 20
|
| Settlement date: | March 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48127DAX6
|
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