By Marisa Wong
Madison, Wis., Feb. 6 – JPMorgan Chase & Co. priced $1.2 million of 0% autocallable dual directional notes due March 7, 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 15% if the index closes at or above the initial level on any of four quarterly call valuation dates.
If the notes have not been called and the final index level is greater than or equal to the barrier level, 71% of the initial level, the payout at maturity will be par plus the absolute value of the return.
If the index finishes below the barrier level, investors will be fully exposed to the index decline.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Autocallable dual directional notes
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Underlying asset: | S&P GSCI Crude Oil Index Excess Return
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Amount: | $1.2 million
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Maturity: | March 7, 2016
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index finishes at or above barrier level, par plus absolute value of return; otherwise, full exposure to any losses
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Call: | At par plus annualized call premium of 15% if index closes at or above the initial level on any quarterly review date
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Initial level: | 269.5472
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Barrier level: | 191.37851, 71% of initial level
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Pricing date: | Feb. 2
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Settlement date: | Feb. 5
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Underwriter: | J.P. Morgan Securities LLC
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Fees: | 1.25%
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Cusip: | 48127DQG6
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