By Jennifer Chiou
New York, Feb. 5 - JPMorgan Chase & Co. priced $636,000 of 0% dual directional knock-out buffered notes due Feb. 2, 2015 linked to the iShares Barclays 20+ Year Treasury Bond fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the fund's closing share price is less than the initial share price by more than the knock-out buffer amount on any day during the life of the notes. The knock-out buffer amount is 18.5%.
If the final share price is greater than the initial share price, the payout at maturity will be par plus the fund return.
If the final share price is equal to the initial share price, the payout will be par.
If the final share price is less than the initial share price and a knock-out event has not occurred, the payout will be par plus the absolute value of the fund return.
If the final share price is less than the initial share price and a knock-out event has occurred, investors will be fully exposed to the share price decline.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional knock-out buffered notes
|
| Underlying fund: | iShares Barclays 20+ Year Treasury fund
|
| Amount: | $636,000
|
| Maturity: | Feb. 2, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus any fund gain; if final share price is less than initial price and knock-out event has not occurred, par plus absolute value of the fund return; full exposure to decline if final price is less than initial price and knock-out event has occurred
|
| Initial price: | $117.61
|
| Pricing date: | Jan. 28
|
| Settlement date: | Jan. 31
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.75%
|
| Cusip: | 48126DTG4
|
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