New Issue: JPMorgan prices $3.16 million autocallable reverse exchangeables linked to Delta

By Marisa Wong

Morgantown, W.Va., Oct. 23 – JPMorgan Chase & Co. priced $3.16 million of 8.5% autocallable reverse exchangeable notes due Oct. 25, 2016 linked to the common stock of Delta Air Lines, Inc., according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable monthly.

The notes will be called at par if Delta stock closes at or above the initial share price on April 20, 2016 or July 20, 2016.

If the notes are not called, the payout at maturity will be par unless Delta stock closes below the trigger level, 70% of the initial share price, during the life of the notes and finishes below the initial price, in which case the payout will be a number of Delta shares equal to $1,000 divided by the initial share price.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable reverse exchangeable notes
Underlying stock:	Delta Air Lines, Inc. (Symbol: DAL)
Amount:	$3,158,000
Maturity:	Oct. 25, 2016
Coupon:	8.5%, payable monthly
Price:	Par of $1,000
Payout at maturity:	Par unless final share price is less than initial share price and stock closes below trigger price on any day during life of notes, in which case 19.9402 Delta shares or cash amount equal to value of those shares
Call:	At par if stock closes at or above initial share price on April 20, 2016 or July 20, 2016
Initial share price:	$50.15
Trigger value:	$35.105, 70% of initial share price
Pricing date:	Oct. 20
Settlement date:	Oct. 23
Agent:	J.P. Morgan Securities LLC
Fees:	1.5%
Cusip:	46625HNS5

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