By Toni Weeks
San Luis Obispo, Calif., Sept. 16 – JPMorgan Chase & Co. priced $9.76 million of contingent income autocallable securities due Sept. 15, 2017 linked to the common stock of American Airlines Group Inc., according to an FWP filing with the Securities and Exchange Commission.
If American Airlines shares close at or above the downside threshold level – 65% of the initial share price – on a quarterly determination date, investors will receive a contingent payment of $0.2575 for each $10.00 note. Otherwise, no contingent payment will be made for that period. The contingent payment is equivalent to 10.3% per year.
If the closing share price is greater than or equal to the initial share price on any quarterly determination date other than the final date, the notes will be automatically redeemed at par plus the contingent payment.
If the notes are not called and the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the contingent payment. If the final price is less than the downside threshold level, the payout will be a number of American Airlines shares equal to $10.00 divided by the initial share price or, at the issuer’s option, an equivalent cash amount.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC will handle distribution.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying stock: | American Airlines Group Inc. (Symbol: AAL)
|
| Amount: | $9,758,950
|
| Maturity: | Sept. 15, 2017
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| Contingent payment: | If American Airlines shares close at or above downside threshold on quarterly determination date, $0.2575 per note; otherwise, no contingent payment for that period
|
| Price: | Par of $10.00
|
| Payout at maturity: | If final share price is greater than or equal to downside threshold, par plus $0.2575; if final share price is less than downside threshold, 0.2656 American Airlines shares or, at issuer’s option, cash amount equal to value of those shares
|
| Call: | Automatically at par plus $0.2575 if closing share price is greater than or equal to initial level on any quarterly determination date other than final date
|
| Initial share price: | $37.65
|
| Downside threshold: | $24.4725, 65% of initial share price
|
| Pricing date: | Sept. 12
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| Settlement date: | Sept. 17
|
| Agent: | J.P. Morgan Securities LLC
|
| Distribution: | Morgan Stanley Smith Barney LLC
|
| Fees: | 2%
|
| Cusip: | 481246312
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