By Marisa Wong
Morgantown, W.Va., Oct. 7 – JPMorgan Chase & Co. priced $1.4 million of contingent income autocallable securities due Oct. 6, 2016 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
If the fund closes at or above the downside threshold level, 70% of the initial level, on a quarterly determination date, the notes will pay a contingent payment that quarter of 3.625%.
The notes will be called at par plus the contingent coupon if the fund closes at or above the initial level on any quarterly determination date other than the final determination date.
If the final level 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 lose 1% for every 1% that the final level is less than the initial level.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying fund: | SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $1.4 million
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| Maturity: | Oct. 6, 2016
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| Coupon: | 3.625% per quarter if the fund closes at or above downside threshold level on determination date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | If final level is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, 1% loss for every 1% that final level is less than initial level
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| Call: | At par plus contingent coupon if fund closes at or above initial level on any quarterly determination date other than final determination date
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| Initial price: | $32.84
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| Downside threshold: | $22.988, 70% of initial price
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| Pricing date: | Sept. 30
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| Settlement date: | Oct. 5
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
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| Fees: | 1.75%
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| Cusip: | 48127Y771
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