By Angela McDaniels
Tacoma, Wash., Sept. 9 - JPMorgan Chase & Co. priced $2.44 million of 0% return notes due Sept. 10, 2015 linked to the S&P 500 Total Return index and the J.P. Morgan Volemont Strategy - U.S. Equity (Series 1) (USD), according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus the returns of the indexes minus the equity deduction, 0.25%, and plus the accrued volatility deduction, 0.85% per year.
The notes will be automatically called if the average of the indexes' returns is less than negative 30% on any trading day during the life of the notes.
The initial index levels - 2,950.73 for the equity index and 265.21 for the volatility index - were set by the calculation agent and are slightly higher than the indexes' closing levels on the pricing date, which were 2,949.268 and 265.09, respectively.
Volemont Strategy
The J.P. Morgan Volemont Strategy - U.S. Equity (Series 1) (USD) was created April 30. It is a synthetic, dynamic strategy that adjusts its synthetic exposures to two underlying components, the variable component and the futures component, based on market conditions with the aims of generating positive returns during normal market conditions and mitigating losses or generating positive returns during high-volatility market conditions.
The variance component seeks to capitalize on the long-term trend of the realized volatility of a broad market equity index tending to be less than the implied volatility of that equity index by synthetically selling 30-calendar-day variance swaps on the S&P 500 index on a daily basis when certain market conditions are present.
The futures component is generally expected to be activated only under high-volatility market conditions and is intended to generate positive returns that may partially or fully offset losses that may be expected to be generated by the variance component during high-volatility market conditions. The futures component, when activated, reflects returns from maintaining a synthetic long position in futures contracts on the CBOE Volatility index, or the VIX index.
The index is subject to four fees and adjustments:
• Each day, the calculation of the index reflects the deduction of an adjustment factor of 0.75% per year;
• Once each month, if the futures component is activated, the calculation of the index will reflect a deduction that approximates VIX futures slippage costs associated with adjusting the weight attributed to the futures component in the index;
• Each day, if the futures component is activated, the calculation of the futures component will reflect a deduction that approximates VIX futures slippage costs associated with rolling the VIX futures contracts underlying the futures component; and
• On each relevant day, the strike level of any synthetic variance swap initiated under the variance component will reflect the level of the VIX index on that day less a strike adjustment, which is intended to approximate transaction costs, including bid-ask spreads and slippage costs.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying indexes: | S&P 500 Total Return index and J.P. Morgan Volemont Strategy - U.S. Equity (Series 1) (USD)
|
| Amount: | $2,444,000
|
| Maturity: | Sept. 10, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus index returns minus 0.25% plus amount equal to 0.85% per year
|
| Acceleration: | Automatically if average of indexes' returns is less than negative 30%
|
| Initial index levels: | 2,950.73 for equity index and 265.21 for volatility index
|
| Pricing date: | Sept. 5
|
| Settlement date: | Sept. 10
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.25%
|
| Cusip: | 48126NQWO
|
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