By Marisa Wong
Madison, Wis., April 28 – JPMorgan Chase & Co. priced $3 million of 0% dual directional buffered review notes due May 20, 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 21% per year if the index closes at or above its initial level on any monthly review date.
If the notes are not called and the final index level is less than the initial index level by up to 19.5%, the payout at maturity will be par plus the absolute value of the index return. Otherwise, investors will be fully exposed to the index’s decline from its initial level.
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 index: | S&P GSCI Crude Oil Index Excess Return
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| Amount: | $3 million
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| Maturity: | May 20, 2016
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If index declines by no more than 19.5%, par plus absolute value of index return; otherwise, full exposure to index’s decline from initial level
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| Call: | Automatically at par plus 21% per year if index closes at or above initial level on any monthly review date
|
| Initial index level: | 284.9756
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| Final index level: | Average of index’s closing levels on the five trading days ending May 17, 2016
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| Pricing date: | April 24
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| Settlement date: | April 29
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48125UDY5
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