By Angela McDaniels
Tacoma, Wash., July 19 – JPMorgan Chase Financial Co. LLC priced $7.82 million of contingent income autocallable securities due July 20, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
If the ETF closes at or above the downside threshold level, 65% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 11.3%.
The notes will be called at par of $10 plus the contingent coupon if the ETF closes at or above the initial share price on any quarterly determination date other than the final determination date.
If the final share price 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 share price is less than the initial share price.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.
| Issuer: | JPMorgan Chase Financial Co. LLC
|
| Guarantor: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying ETF: | SPDR S&P Oil & Gas Exploration & Production
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| Amount: | $7,819,490
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| Maturity: | July 20, 2017
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| Coupon: | 11.3% per year, payable quarterly if ETF’s shares close at or above downside threshold level on determination date for that quarter
|
| Price: | Par of $10.00
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| Payout at maturity: | If final share price is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, 1% loss for every 1% that final share price is less than initial share price
|
| Call: | At par plus contingent coupon if ETF’s shares close at or above initial share price on any quarterly determination date other than final determination date
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| Initial share price: | $34.84
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| Downside threshold: | $22.646, 65% of initial share price
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| Pricing date: | July 15
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| Settlement date: | July 20
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| Agent: | J.P. Morgan Securities LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
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| Fees: | 1.25%
|
| Cusip: | 46646W227
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