By Angela McDaniels
Tacoma, Wash., April 6 – JPMorgan Chase & Co. priced $825,000 of contingent income autocallable securities due Oct. 7, 2015 linked to the S&P GSCI Crude Oil Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent payment at an annualized rate of 8.25% if the index closes at or above the downside threshold level, 80% of the initial index level, on the determination date for that month.
The notes will be called at par plus the contingent coupon if the index closes at or above the redemption threshold level, 95% of the initial index level, on any determination date other than the final determination date.
If the final index 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 index level is less than the initial index level.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying index: | S&P GSCI Crude Oil Index Excess Return
|
| Amount: | $825,000
|
| Maturity: | Oct. 7, 2015
|
| Coupon: | Each month, notes pay contingent payment at annualized rate of 8.25% if index closes at or above downside threshold level on determination date for that month
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, 1% loss for every 1% that final index level is less than initial index level
|
| Call: | At par plus contingent coupon if index closes at or above redemption threshold level on any determination date other than final determination date
|
| Initial index level: | 253.0357
|
| Redemption threshold: | 240.38292, 95% of initial level
|
| Downside threshold: | 202.42856, 80% of initial level
|
| Pricing date: | April 2
|
| Settlement date: | April 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Distribution: | Morgan Stanley Smith Barney LLC
|
| Fees: | 1.25%
|
| Cusip: | 48125UDN9
|
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