By Susanna Moon
Chicago, Oct. 22 – JPMorgan Chase & Co. priced $1.27 million of airbag phoenix autocallable optimization securities due April 22, 2016 linked to D.R. Horton Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 8.75% if D.R. Horton shares close at or above the coupon barrier, 75% of the initial share price, on the observation date for that month.
The notes will be called at par plus the coupon if the stock closes at or above the initial share price on any quarterly observation date.
If the notes are not called, the payout at maturity will be par unless the final share price is less than the conversion price, in which case the payout will be a number of D.R. Horton shares equal to $1,000 divided by the conversion price. The conversion price is 85% of the initial share price.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Airbag phoenix autocallable optimization securities
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| Underlying stock: | D.R. Horton Inc. (Symbol: DHI)
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| Amount: | $1,269,000
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| Maturity: | April 22, 2016
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| Coupon: | 8.75% annualized, payable monthly if D.R. Horton shares close at or above coupon barrier on observation date for the month
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| Price: | Par
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| Payout at maturity: | If final share price is less than conversion price, number of D.R. Horton shares equal to $1,000 divided by the conversion price; otherwise, par
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| Call: | At par if D.R. Horton shares close at or above the initial share price on any quarterly observation date
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| Initial share price: | $21.56
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| Coupon barrier level: | $16.17, 75% of initial price
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| Conversion price: | $18.33, 85% of initial price
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| Pricing date: | Oct. 17
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| Settlement date: | Oct. 22
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | 1.5%
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| Cusip: | 48127H356
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