By Susanna Moon
Chicago, July 29 – JPMorgan Chase & Co. priced $10.24 million of contingent income autocallable securities due July 28, 2021 linked to Apple Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of 2.625% if Apple stock closes at or above the 80% barrier level on the determination date for that quarter.
The notes will be called at par plus the contingent coupon if the stock close at or above the redemption level on any quarterly determination date other than the final date.
The redemption threshold will be 105% of the initial share price for the first four determination dates, stepping up to 110% of the initial share price for the next four determination dates and to 115% of the initial price for the three determination dates after that.
If the notes are not called and Apple stock finishes at or above the 80% barrier level, the payout at maturity will be par plus the contingent payment.
Otherwise, investors will receive a number of shares of Apple stock equal to $10 divided by the initial share price or, at the issuer's option, the cash value of those shares.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Smith Barney LLC as dealer.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying stock: | Apple Inc. (Symbol: AAPL)
|
| Amount: | $10,244,610
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| Maturity: | July 28, 2017
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| Contingent coupon: | 2.625% for each quarter that Apple stock closes at or above barrier level on determination date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If stock finishes at or above downside threshold level, par plus contingent payment; otherwise 0.10236 Apple shares
|
| Call: | At par plus contingent payment if stock closes at or above redemption level on any quarterly determination date other than final one
|
| Initial share price: | $97.69
|
| Barrier level: | $78.152, 80% of initial share price
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| Redemption level: | $102.5745, 105% of the initial share price for the first four determination dates; $107.4590, 110% of the initial share price for the next four determination dates; and $112.3435, 115% of the initial price for the three determination dates after that
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| Pricing date: | July 25
|
| Settlement date: | July 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Distribution: | Morgan Stanley Smith Barney, LLC
|
| Fees: | 2.25%
|
| Cusip: | 48127H208
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