New Issue: JPMorgan sells $140,000 more bearish notes on US Treasury Note Futures

By Susanna Moon

Chicago, Dec. 6 - JPMorgan Chase & Co. priced another $140,000 of 0% bearish notes due Nov. 30, 2016 linked inversely to the J.P. Morgan US Treasury Note Futures (G) Tracker, according to an FWP filing with the Securities and Exchange Commission.

This brings the total deal size to $273,000, up from $133,000

The payout at maturity will be par plus the absolute value of any index decline.

If the index gains, the payout will be par.

The Futures Tracker is a notional, dynamic strategy that aims to replicate the returns of maintaining a long position in 10-year U.S. Treasury notes futures contracts. At any given time, the Futures Tracker is composed of a single 10-year Treasury futures contract that is either the contract closest to expiration or the futures contract scheduled to expire immediately following that.

J.P. Morgan Securities Inc. is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Bearish notes
Underlying index:	J.P. Morgan US Treasury Note Futures (G) Tracker
Amount:	$273,000, up from $133,000
Maturity:	Nov. 30, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus absolute value of any index drop, floor of par
Initial index level:	197.94
Pricing date:	Nov. 23 for $133,000; Dec. 3 for $140,000
Settlement date:	Nov. 30 for $133,000; Dec. 7 for $140,000
Agent:	J.P. Morgan Securities LLC
Fees:	6.54%, including 3.86% for selling concessions (original $133,000); 6.15%, including 3.25% for selling concessions (for $140,000)
Cusip:	48124AV95

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