By Susanna Moon
Chicago, Dec. 30 – JPMorgan Chase & Co. priced $3.38 million of 0% dual directional buffered review notes due Jan. 29, 2016 linked to the S&P GSCI Crude Oil Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of at 15% if crude closes at or above the initial level on any quarterly review date.
If the notes are not called and the price of crude falls by up to the contingent buffer of 35%, the payout at maturity will be par plus the absolute value of the return.
If crude finishes below the 65% barrier level, investors will be fully exposed to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Dual directional buffered review notes
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| Underlying asset: | S&P GSCI Crude Oil Index Excess Return
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| Amount: | $3,375,000
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| Maturity: | Jan. 29, 2016
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If crude falls by up to 35%, par plus absolute value of the return; otherwise, full exposure to any losses
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| Call: | At par plus annualized call premium of at 15% if crude closes at or above the initial level on any quarterly review date
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| Initial level: | 314.419
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| Pricing date: | Dec. 26
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| Settlement date: | Dec. 31
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| Underwriter: | J.P. Morgan Securities LLC
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| Fees: | 1.25%
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| Cusip: | 48127D4N5
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