By Jennifer Chiou
New York, Sept. 4 - JPMorgan Chase & Co. priced $1,435,000 of 0% capped dual directional knock-out buffered notes due Sept. 1, 2016 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 exchange-traded fund's closing share price is less than the initial share price by more than 43.5% on any day during the life of the notes.
If the final share price is greater than the initial share price, the payout at maturity will be par plus the ETF return, subject to a maximum return of 10%.
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 ETF 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: | Capped dual directional knock-out buffered notes
|
| Underlying ETF: | iShares Barclays 20+ Year Treasury bond fund
|
| Amount: | $1,435,000
|
| Maturity: | Sept. 1, 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 43.5% on any day during life of notes
|
| Initial share price: | $106.11
|
| Pricing date: | Aug. 29
|
| Settlement date: | Sept. 4
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48126NPB7
|
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