Published on 9/9/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $4.63 million contingent income autocallables linked to Ford
By Marisa Wong
Madison, Wis., Sept. 9 – JPMorgan Chase & Co. priced $4.63 million of contingent income autocallable securities with step-up redemption threshold level feature due Sept. 11, 2017 linked to the common stock of Ford Motor Co., according to a 424B2 filing with the Securities and Exchange Commission.
If Ford shares close at or above the downside threshold level, 80% 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%.
The notes will be called at par of $10 plus the contingent coupon if Ford shares close at or above the redemption threshold level on any quarterly determination date other than the final determination date. The redemption threshold level is 105% of the initial share price on determination dates one through four, 110% of the initial share price on determination dates five through eight and 115% of the initial share price on determination dates nine through 11.
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 receive a number of Ford shares equal to $10 divided by the initial share price or, at the issuer’s option, an amount in cash equal to the value of those shares.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Smith Barney LLC handling distribution.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities with step-up redemption threshold level feature
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| Underlying stock: | Ford Motor Co. (Symbol: F)
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| Amount: | $4,632,780
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| Maturity: | Sept. 11, 2017
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| Coupon: | If Ford shares close at or above downside threshold level on a quarterly determination date, notes pay a contingent payment that quarter at annualized rate of 8%
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| Price: | Par of $10.00
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| Payout at maturity: | If final share price is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, 0.58343 Ford shares or, at issuer’s option, cash amount equal to value of those shares
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| Call: | At par plus contingent coupon if Ford shares close at or above redemption threshold level on any quarterly determination date other than final determination date
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| Initial share price: | $17.14
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| Downside threshold: | $13.712, 80% of initial price
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| Redemption threshold: | $17.997, 105% of initial share price, on determination dates one through four; $18.854, 110% of initial share price, on determination dates five through eight; and $19.711, 115% of initial share price, on determination dates nine through 11
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| Pricing date: | Sept. 5
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| Settlement date: | Sept. 10
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| Agent: | J.P. Morgan Securities LLC with distribution through Morgan Stanley Smith Barney LLC
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| Fees: | 2%
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| Cusip: | 48127H760
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