By Angela McDaniels
Tacoma, Wash., March 3 – JPMorgan Chase & Co. priced $20.34 million of contingent income autocallable securities due March 2, 2018 linked to the class A common stock of Facebook, Inc., according to an FWP filing with the Securities and Exchange Commission.
If Facebook shares close at or above the downside threshold level, 75% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 8.5%.
The notes will be called at par of $10 plus the contingent coupon if Facebook shares close at or above the initial share price on any quarterly determination date other than the final determination date.
If the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final share price is less than the initial share price or, at the issuer’s option, receive a number of Facebook shares equal to $10 divided by the initial share price.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying stock: | Facebook, Inc. (Symbol: FB)
|
| Amount: | $20,337,700
|
| Maturity: | March 2, 2018
|
| Coupon: | 8.5% per year, payable quarterly if Facebook shares close at or above downside threshold level on determination date for that quarter
|
| Price: | Par of $10.00
|
| Payout at maturity: | If final share price is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, 1% loss for every 1% that final share price is less than initial share price or, at issuer’s option, number of Facebook shares equal to $10 divided by initial share price
|
| Call: | At par plus contingent coupon if Facebook shares close at or above initial share price on any quarterly determination date other than final determination date
|
| Initial share price: | $78.97
|
| Downside threshold: | $59.2275, 75% of initial share price
|
| Pricing date: | Feb. 27
|
| Settlement date: | March 4
|
| Agent: | J.P. Morgan Securities LLC
|
| Distribution: | Morgan Stanley Smith Barney LLC
|
| Fees: | 2.5%
|
| Cusip: | 48127R271
|
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