Published on 11/8/2013 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $789,318 additional 7% notes linked to AIG
By Toni Weeks
San Luis Obispo, Calif., Nov. 8 - JPMorgan Chase & Co. priced another $789,318 of 7% equity-linked notes due March 10, 2014 linked to the common stock of American International Group, Inc., adding to the original $25,000,069, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total deal size to $33.36 million. The original $25 million of the notes priced on March 11, 2013, an additional tranche of $2.05 million of notes priced on March 28, 2013 and another tranche of $5.53 million priced on May 28.
Interest is payable monthly.
The principal amount of each note is $39.4659. This is equal to the initial strike price, which was set by the calculation agent and is less than the $39.47 closing share price of AIG stock on the March 11, 2013 pricing date.
If the final share price is less than or equal to the lower put strike price, the payout at maturity will be 90.70295% of the lower put strike price. The lower put strike price is 85% of the initial strike price.
If the final share price is greater than the lower put strike price and less than the upper put strike price, the payout will be 90.70295% of the final share price. The upper put strike price is 110.25% of the initial strike price.
If the final share price is greater than or equal to the upper put strike price and less than the call strike price, the payout will be par. The call strike price is 114.95% of the initial strike price.
If the final share price is greater than or equal to the call strike price, the payout will be (a) par plus (b) (i) 65% of (ii) the final share price minus the call strike price.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Equity-linked notes
|
| Underlying stock: | American International Group, Inc. (Symbol: AIG)
|
| Amount: | $33,363,287.88 (up from original $25,000,069.01)
|
| Maturity: | March 10, 2014
|
| Coupon: | 7%, payable monthly
|
| Price: | Par of $39.4659
|
| Payout at maturity: | If final share price is less than or equal to lower put strike price, 90.70295% of lower put strike price; if final share price is greater than lower put strike price and less than upper put strike price, 90.70295% of final share price; if final share price is greater than or equal to upper put strike price and less than call strike price, par; if final share price is greater than or equal to call strike price, (a) par plus (b) (i) 65% of (ii) final share price minus call strike price
|
| Initial strike price: | $39.4659
|
| Lower put strike price: | $33.54602, 85% of initial strike price
|
| Upper put strike price: | $43.51115, 110.25% of initial strike price
|
| Call strike price: | $45.36605, 114.95% of initial strike price
|
| Pricing dates: | March 11, 2013 for original $25,000,069.01; March 28, 2013 for $2,048,674.87; May 28 for $5,525,226; Nov. 6 for $789,318
|
| Settlement dates: | March 18, 2013 for original notes; April 3, 2013 for first add-on; June 4 for second add-on; Nov. 14 for third add-on
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.15%
|
| Cusip: | 48124B592
|
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