By Jennifer Chiou
New York, March 24 - JPMorgan Chase & Co. priced $763,000 of 0% capped dual directional knock-out buffered notes due March 24, 2016 linked to the SPDR Barclays International Treasury Bond exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the fund closes below the initial share price by more than 14.6% on any day during the life of the notes.
If the fund finishes above the initial share price, the payout at maturity will be par plus the fund return, up to a maximum return of 10%.
If the fund finishes at the initial share price, the payout will be par.
If the fund finishes below the initial level and a knock-out event has not occurred, the payout will be par plus the absolute value of the return.
Otherwise, investors will be fully exposed to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped dual directional knock-out buffered notes
|
| Underlying ETF: SPDR Barclays International Treasury Bond ETF
|
| Amount: | $763,000
|
| Maturity: | March 24, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final share price is greater than initial share price, par plus ETF return, capped at 10%; if final share price is less than initial share price and knock-out event has not occurred, par plus absolute value of ETF return; if final share price is less than initial share price and knock-out event has occurred, full exposure to share price decline
|
| Knock-out event: | Closing share price is less than initial share price by more than 14.6% on any day during life of notes
|
| Initial share price: | $58.85
|
| Pricing date: | March 20
|
| Settlement date: | March 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48127DBA5
|
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