By Susanna Moon
Chicago, Feb. 10 – JPMorgan Chase & Co. priced $846,500 of 0% contingent absolute return autocallable optimization securities due Feb. 18, 2016 linked to Alcoa Inc. shares, according to a 424B8 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 10% if Alcoa stock closes at or above the initial share price on any quarterly observation date.
If the notes are not called and the final share price is at or above the 75% trigger level, the payout at maturity will be par plus the absolute value of the return.
Otherwise, investors will be fully exposed to any losses.
J.P. Morgan Securities LLC and UBS Financial Services Inc. are the underwriters.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent absolute return autocallable optimization securities
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| Underlying stock: | Alcoa Inc. (Symbol: AA)
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| Amount: | $846,500
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| Maturity: | Feb. 18, 2016
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| Coupon: | 0%
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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 trigger price, par plus absolute value of stock return; otherwise, full exposure to stock decline
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| Call: | At par plus 10% per year if Alcoa stock closes at or above initial share price on any quarterly observation date
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| Initial share price: | $16.57
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| Trigger price: | $12.43, 75% of initial share price
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| Pricing date: | Feb. 6
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| Settlement date: | Feb. 11
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| Underwriters: | J.P. Morgan Securities LLC and UBS Financial Services Inc.
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| Fees: | 1.5%
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| Cusip: | 48127R495
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