By Toni Weeks
San Luis Obispo, Calif., July 29 – JPMorgan Chase & Co. priced $2.62 million of 0% dual directional review notes due Feb. 1, 2017 linked to the least performing of the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 10.9% if each underlying component closes at or above its initial level on any semiannual review date beginning Jan. 27, 2016.
If the notes are not called and the return of each component is no less than negative 15%, the payout at maturity will be par plus the absolute value of the return of the least-performing component.
If either component finishes below the initial level by more than the 15% buffer, investors will lose 1.1765% for each 1% decline of the least-performing component beyond the 15% buffer.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional review notes
|
| Underlying components: | Russell 2000 index and iShares MSCI EAFE ETF
|
| Amount: | $2,618,000
|
| Maturity: | Feb. 1, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If each component finishes at or above 85% of its initial level, par plus absolute value of return of least-performing component; if either component finishes below 85% trigger level, 1.1765% loss for each 1% decline of least-performing component
|
| Call: | Automatically at par plus annualized call premium of 10.9% if each component closes at or above initial level on any semiannual review date beginning Jan. 27, 2016
|
| Initial levels: | 1,214.614 for Russell, $63.42 for iShares MSCI EAFE
|
| Pricing date: | July 27
|
| Settlement date: | July 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.15%
|
| Cusip: | 48125UC91
|
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