By Susanna Moon
Chicago, March 11 - JPMorgan Chase & Co. priced $2.2 million of contingent income autocallable securities due March 10, 2017 with step-up redemption threshold level linked to Mosaic Co. shares, according to an FWP with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at a rate of 2.3125% per quarter if Mosaic stock closes at or above the 80% downside threshold level on the determination date for that quarter.
If the shares close at or above the redemption level on any of the first 11 quarterly determination dates, the notes will be called at par plus the contingent coupon.
The redemption threshold level will be 105% of the initial stock price for the first four review dates, stepping up to 110% of the initial stock price for the next four review dates and to 115% of the initial stock price for the final three review dates.
If the notes are not called and Mosaic stock finishes at or above the 80% trigger level, the payout at maturity will be par plus the contingent payment.
Otherwise, investors will receive a number of shares of Mosaic stock equal to $10 divided by the initial share price or, at the issuer's option, the cash equivalent.
J.P. Morgan Stanley Securities LLC is the agent with Morgan Stanley Smith Barney LLC as dealer.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities with step-up redemption threshold level
|
| Underlying stock: | Mosaic Co. (Symbol: MOS)
|
| Amount: | $2,197,600
|
| Maturity: | March 10, 2017
|
| Coupon: | 2.3125% per quarter if closing price is at least 80% of initial price on quarterly determination date; otherwise, none
|
| Price: | Par
|
| Payout at maturity: | If final share price is at least 80% of initial price, par plus contingent payment; otherwise, 0.20109 Mosaic shares
|
| Initial price: | $49.73
|
| Trigger level: | $39.784, 80% of initial share price
|
| Call: | Par plus contingent payment if shares close at or above redemption level on any of first 11 quarterly determination dates;
|
| Pricing date: | March 7
|
| Settlement date: | March 12
|
| Agent: | J.P. Morgan Stanley Securities LLC with Morgan Stanley Smith Barney LLC as dealer
|
| Fees: | 2.25%
|
| Cusip: | 48127E585
|
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