By Jennifer Chiou
New York, Dec. 23 – JPMorgan Chase & Co. priced $6,117,000 of contingent income autocallable securities due Dec. 22, 2017 linked to the Energy Select Sector SPDR fund, according to an FWP with the Securities and Exchange Commission.
The notes will pay a contingent quarterly payment of 2.5% if the fund closes at or above its 80% downside threshold level on the observation date for that quarter.
The notes will be redeemed at par of $10 plus the contingent payment if the fund closes at or above the initial level on any determination date other than the final date.
The payout at maturity will be par plus the final coupon unless the fund finishes below its 80% downside threshold level, in which case investors will be fully exposed to any losses.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Smith Barney LLC as distributor.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying fund: | Energy Select Sector SPDR fund
|
| Amount: | $6,117,000
|
| Maturity: | Dec. 22, 2017
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| Coupon: | 10%, payable quarterly if fund closes at or above downside threshold on review date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus the final coupon if fund finishes at or above downside threshold level; otherwise, a number of fund shares equal to $10 divided by initial price
|
| Call: | Automatically at par plus contingent coupon if fund closes at or above initial price on any quarterly determination date other than final date
|
| Initial share price: | $80.57
|
| Downside threshold price: $64.456, 80% of initial price
|
| Pricing date: | Dec. 19
|
| Settlement date: | Dec. 24
|
| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC
|
| Fees: | 2.5%
|
| Cusip: | 48127P424
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