By Toni Weeks
San Luis Obispo, Calif., Dec. 24 - JPMorgan Chase & Co. priced $1.42 million of contingent income autocallable securities due Dec. 26, 2014 linked to CME Group Inc. shares, according to a 424B2 with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at a rate of 2.925% per quarter if CME 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 initial stock price on any of the first three quarterly determination dates, the notes will be called at par plus the contingent coupon.
If the notes are not called and CME 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 CME stock equal to $10 divided by the initial share price or, at the issuer's option, the cash value of those shares.
J.P. Morgan Stanley Securities LLC is the agent with Morgan Stanley Smith Barney LLC as dealer.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying stock: | CME Group Inc. (Symbol: CME)
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| Amount: | $1,419,400
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| Maturity: | Dec. 26, 2014
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| Coupon: | 2.925% per quarter if closing price is at least 80% of initial price on quarterly determination date; otherwise, none
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| Price: | Par
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| Payout at maturity: | If final share price is at least 80% of initial price, par plus contingent quarterly payment; otherwise, 0.11935 shares of CME stock or, at issuer's option, equivalent cash value
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| Initial price: | $83.79
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| Downside threshold level: | $67.032, 80% of initial share price
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| Call: | Par plus contingent payment if closing share price greater than or equal to initial share price on any of first three quarterly determination dates
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| Pricing date: | Dec. 20
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| Settlement date: | Dec. 26
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| Agent: | J.P. Morgan Stanley Securities LLC with Morgan Stanley Smith Barney LLC as dealer
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| Fees: | 1.5%, used for selling concessions
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| Cusip: | 48127A526
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