By Marisa Wong
Madison, Wis., May 28 – JPMorgan Chase & Co. priced $2.47 million of contingent income autocallable securities due Nov. 27, 2015 linked to the S&P GSCI Crude Oil Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon of 1.0625% if the index closes at or above the 80% downside threshold level on the determination date for that month.
The notes will be called at par of $10 plus the contingent coupon if the index closes at or above the initial level any determination date other than the final one.
The payout at maturity will be par plus the final contingent coupon unless the index finishes below the downside threshold level, in which case investors will be fully exposed to any losses.
J.P. Morgan Securities LLC is the agent with distribution through Morgan Stanley Smith Barney LLC.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
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| Underlying index: | S&P GSCI Crude Oil Index Excess Return
|
| Amount: | $2,469,000
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| Maturity: | Nov. 27, 2015
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| Contingent payment: | 1.0625% per month if index closes at or above the downside threshold level on determination date for that month
|
| Price: | Par of $1,000
|
| Payout at maturity: | Par plus the final contingent coupon unless the index finishes below the downside threshold level, in which case investors will be fully exposed to any losses
|
| Call: | At par plus the contingent coupon if the index closes at or above the initial level any determination date other than the final one
|
| Initial level: | 292.9280
|
| Downside threshold level: 234.3424, 80% of initial level
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| Pricing date: | May 22
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| Settlement date: | May 28
|
| Agent: | J.P. Morgan Securities LLC with distribution through Morgan Stanley Smith Barney LLC
|
| Fees: | 1.25%
|
| Cusip: | 48125UST0
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