Published on 9/30/2014 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.13 million contingent income autocallables linked to Broadcom
By Angela McDaniels
Tacoma, Wash., Sept. 30 – JPMorgan Chase & Co. priced $1.13 million of contingent income autocallable securities with step-up redemption threshold level feature due Sept. 29, 2017 linked to the class A common stock of Broadcom Corp., according to a 424B2 filing with the Securities and Exchange Commission.
If Broadcom 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 8.5%.
The notes will be called at par of $10 plus the contingent coupon if Broadcom 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 cash amount equal to the value of a number of Broadcom shares equal to $10 divided by the initial share price. The issuer has the option to pay Broadcom shares instead of cash.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities with step-up redemption threshold level feature
|
| Underlying stock: | Broadcom Corp. (Symbol: BRCM)
|
| Amount: | $1,131,000
|
| Maturity: | Sept. 29, 2017
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| Coupon: | If Broadcom shares close at or above downside threshold level on a quarterly determination date, notes pay a contingent payment that quarter at annualized rate of 8.5%
|
| 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, cash amount equal to value of 0.24624 Broadcom share or, at issuer’s option, 0.24624 Broadcom shares
|
| Call: | At par plus contingent coupon if Broadcom shares close at or above redemption threshold level on any quarterly determination date other than final determination date
|
| Initial share price: | $40.61
|
| Downside threshold: | $32.488, 80% of initial price
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| Redemption threshold: | $42.6405, or 105% of initial share price, on determination dates one through four, $44.6710, or 110% of initial share price, on determination dates five through eight and $46.7015, or 115% of initial share price, on determination dates nine through 11
|
| Pricing date: | Sept. 26
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| Settlement date: | Oct. 1
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
|
| Fees: | 2%
|
| Cusip: | 48127H687
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