By Susanna Moon
Chicago, Sept. 17 - JPMorgan Chase & Co. priced $10.94 million of contingent income autocallable securities due Sept. 16, 2016 linked to Bank of America Corp. shares, according to an FWP filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of 2.4% if Bank of America stock closes at or above the 80% downside threshold level on the determination date for that quarter.
If the stock closes at or above the redemption level on any of the first 11 quarterly determination dates, the notes will be redeemed at par of $10 plus the contingent payment. The redemption level will be to 105% of the initial stock price for the first four determination dates, stepping up to 110% of the initial stock price for the next four dates and to 115% of the initial stock price for the final three dates.
If the notes are not called, the payout at maturity will be par plus the contingent payment unless the stock finishes below the downside threshold level, in which case the payout will be a number of Bank of America shares equal to $10 divided by the initial share price or, at the issuer's option, the cash equivalent.
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
|
| Underlying stock: | Bank of America Corp. (NYSE: BAC)
|
| Amount: | $10,937,300
|
| Maturity: | Sept. 16, 2016
|
| Contingent coupon: | 2.4% per quarter, payable if Bank of America stock closes at or above downside threshold level on determination date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | If final share price is greater than or equal to downside threshold level, par plus contingent payment; otherwise, 0.69013 Bank of America shares
|
| Call: | At par plus contingent payment if shares close at or above redemption level on any of first 11 quarterly determination dates; redemption level will be to 105% of initial stock price initially, stepping up to 110% of initial price on fifth review date and to 115% of initial price on ninth date
|
| Initial share price: | $14.49
|
| Downside threshold: | $11.592, 80% of initial share price
|
| Exchange ratio: | 0.69013
|
| Pricing date: | Sept. 13
|
| Settlement date: | Sept. 18
|
| Agent: | J.P. Morgan Securities LLC with distribution through Morgan Stanley Smith Barney LLC
|
| Fees: | 2.25%
|
| Cusip: | 48126H431
|
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