By Angela McDaniels
Tacoma, Wash., Dec. 31 - JPMorgan Chase & Co. priced $10.53 million of 0% trigger autocallable optimization securities due Dec. 31, 2015 linked to the relative performance of the iShares Russell 2000 exchange-traded fund and the iShares 20+ Year Treasury Bond ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The iShares Russell ETF is the long asset, and the iShares Treasury ETF is the short asset. The relative return will be the long asset return minus the short asset return.
If the relative return is zero or positive on any quarterly observation date, the notes will be called at par of $10 plus a call return of 10% per year.
If the notes have not been called, the long asset return will be less than the short asset return, and the relative return will be negative. The payout at maturity will be par if the short asset return exceeds the long asset return by 22.56% or less. Otherwise, investors will lose 1% for every 1% that the short asset return exceeds the long asset return.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Trigger autocallable optimization securities
|
| Underlying ETFs: iShares Russell 2000 and iShares 20+ Year Treasury Bond
|
| Amount: | $10,527,680
|
| Maturity: | Dec. 31, 2015
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | Par if short asset return exceeds long asset return by 22.56% or less; otherwise, investors will lose 1% for every 1% that short asset return exceeds long asset return
|
| Call: | Automatically at par plus 10% per year if relative return is zero or positive on any quarterly observation date
|
| Initial share prices: | $115.16 for equity fund and $101.81 for Treasury fund
|
| Pricing date: | Dec. 27
|
| Settlement date: | Dec. 31
|
| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48127A369
|
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