JPMorgan plans to price double short leverage notes on US Treasury Note Futures (G) Tracker

By Marisa Wong

Madison, Wis., Jan. 10 - JPMorgan Chase & Co. plans to price 0% double short leverage notes due Jan. 20, 2016 linked to the J.P. Morgan US Treasury Note Futures (G) Tracker, according to an FWP filing with the Securities and Exchange Commission.

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.

An acceleration trigger event occurs if the index closes above the acceleration trigger level, 125% of the initial level, on any day during the life of the notes. If an acceleration trigger event occurs, the final observation date will be accelerated to the trading day immediately following the day on which the trigger event occurred. Likewise, the maturity date will be accelerated to the third business day after the accelerated observation date.

The payout at maturity will be par of $1,000 minus double the index return plus an additional amount and minus an investor fee.

The additional amount is the amount accrued on $1,000 at a rate equal to the U.S. Federal Funds effective rate calculated based on the number of calendar days elapsed divided by 360 and compounded on each business day from and including the pricing date to, but excluding, the observation date.

The investor fee is fixed at 1% if the observation date is accelerated so that it occurs by Jan. 17, 2015. If the observation date is not accelerated or accelerated after Jan. 17, 2015, the fee will be 2%.

Investors will be exposed to losses if the index return is positive or not sufficiently negative to offset the investor fee.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price on Jan. 14 and settle on Jan. 17.

The Cusip number is 48126NV46.

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