By Marisa Wong
Madison, Wis., Nov. 4 - JPMorgan Chase & Co. priced $3.26 million of contingent income autocallable securities due Nov. 4, 2016 linked to Ford Motor Co. shares, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of 2.6% if Ford stock closes at or above the 80% downside threshold level on the determination date for that quarter.
If the stock closes at or above the applicable redemption threshold level on any of the first 11 quarterly determination dates, the notes will be redeemed at par of $10 plus the contingent payment. The redemption threshold is 105% of the initial price for the first four determination dates, 110% of the initial price for the next four determination dates and 115% of the initial price for the last three dates.
If the notes are not called, the payout at maturity will be par plus the contingent payment unless the stock finishes below the downside threshold level, in which case the payout will be a number of Ford shares equal to $10 divided by the initial share price or, at the issuer's option, the cash equivalent.
J.P. Morgan Securities LLC is the agent with distribution through Morgan Stanley Smith Barney LLC.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying stock: | Ford Motor Co. (Symbol: F)
|
| Amount: | $3.26 million
|
| Maturity: | Nov. 4, 2016
|
| Coupon: | 2.6% per quarter if Ford stock closes at or above downside threshold level on review date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | If final share price is greater than or equal to downside threshold level, par plus contingent payment; otherwise, 0.58445 Ford shares
|
| Call: | At par plus contingent payment if shares close at or above redemption threshold on any of first 11 quarterly determination dates
|
| Initial share price: | $17.11
|
| Downside threshold: | $13.688, 80% of initial share price
|
| Redemption threshold: | $17.9655, 105% of initial price, for first four determination dates; $18.821, 110% of initial price, for next four determination dates; $19.6765, 115% of initial price, for last three dates
|
| Pricing date: | Oct. 31
|
| Settlement date: | Nov. 5
|
| Agent: | J.P. Morgan Securities LLC with distribution through Morgan Stanley Smith Barney LLC
|
| Fees: | 2.25%
|
| Cusip: | 48127A609
|
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