By Angela McDaniels
Tacoma, Wash., Feb. 6 – JPMorgan Chase & Co. priced $1 million of autocallable contingent interest notes due Aug. 9, 2016 linked to the worst performing of the common stocks of Chevron Corp., Hess Corp. and Phillips 66, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 15.25% if each underlying stock closes at or above its interest barrier, 65% of its strike value, on the review date for that quarter. The strike value is the price of the stock on the strike date, Feb. 3.
The notes will be called at par plus the coupon if each stock closes at or above its strike value on any quarterly review date other than the final one.
If the notes are not called, the payout at maturity will be par unless any stock finishes below its trigger value, 70% of its strike value, in which case investors will receive a number of shares of the worst-performing stock equal to $1,000 divided by the strike value of that stock.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
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| Underlying stocks: | Chevron Corp. (Symbol: CVX), Hess Corp. (Symbol: HES) and Phillips 66 (Symbol: PSX)
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| Amount: | $1 million
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| Maturity: | Aug. 9, 2016
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| Coupon: | 15.25% per year, payable quarterly if each stock closes at or above interest barrier on observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | Par unless any stock finishes below trigger value, in which case number of shares of worst-performing stock equal to $1,000 divided by strike value of that stock
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| Call: | Automatically at par plus coupon if each stock closes at or above strike value on any quarterly review date other than final one
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| Strike value: | $109.5413 for Chevron, $72.69 for Hess and $74.63 for Phillips 66
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| Interest barrier: | $71.20185 for Chevron, $47.2485 for Hess and $48.5095 for Phillips 66; 65% of strike values
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| Trigger value: | $76.67891 for Chevron, $50.883 for Hess and $52.241 for Phillips 66; 70% of strike values
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| Strike date: | Feb. 3
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| Pricing date: | Feb. 4
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| Settlement date: | Feb. 9
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.3%
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| Cusip: | 48125UBV3
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