By Marisa Wong
Madison, Wis., Dec. 1 – JPMorgan Chase & Co. priced $5.99 million of contingent income autocallable securities with step-up redemption threshold level feature due Nov. 27, 2017 linked to Hewlett-Packard Co. shares, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at a rate of 9.4% per year if Hewlett-Packard stock closes at or above the 80% downside threshold level on the determination date for that quarter.
If the shares close at or above the applicable redemption threshold level on any quarterly determination date other than the final date, the notes will be called at par plus the contingent coupon. The redemption threshold level will be 105% for the first four determination dates, stepping up to 110% for the next four determination dates and to 115% for the final three determination dates.
If the notes are not called and Hewlett-Packard stock finishes at or above the 80% downside threshold level, the payout at maturity will be par plus the contingent payment.
Otherwise, investors will receive a number of shares of Hewlett-Packard stock equal to $10 divided by the initial share price or, at the issuer’s option, the cash value of those shares.
J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management handling distribution.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying stock: | Hewlett-Packard Co. (Symbol: HPQ)
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| Amount: | $5,989,190
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| Maturity: | Nov. 27, 2017
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| Contingent coupon: | 9.4% annualized for each quarter that Hewlett-Packard stock closes at or above downside threshold level on determination date for that quarter
|
| Price: | Par
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| Payout at maturity: | If stock finishes at or above downside threshold level, par plus contingent payment; otherwise, 0.26838 Hewlett-Packard shares
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| Call: | At par plus contingent payment if stock closes at or above applicable redemption threshold level on any quarterly determination date other than final date
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| Initial share price: | $37.26
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| Downside threshold: | $29.808, 80% of initial share price
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| Redemption thresholds: | $39.123, 105% of initial price, for first four dates; $40.986, 110% of initial stock price, for next four dates; $42.849, 115% of initial price, for last three dates
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| Pricing date: | Nov. 21
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| Settlement date: | Nov. 26
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC handling distribution
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| Fees: | 2.5% (2% selling commission and 0.5% structuring fee)
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| Cusip: | 48127P721
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