By Angela McDaniels
Tacoma, Wash., Jan. 22 - JPMorgan Chase & Co. priced $15.65 million of contingent income autocallable securities due Jan. 20, 2017 with step-up redemption threshold level linked to the common stock of Bank of America Corp., according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, noteholders will receive a contingent quarterly payment at the rate of 9.35% per year 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 threshold level on any of the first 11 quarterly determination dates, the notes will be redeemed at par of $10 plus the contingent quarterly payment. The redemption threshold level is 105% of the initial share price for the first four call dates, 110% of the initial share price for the fifth through eighth call dates and 115% of the initial share price for the ninth through 11th call dates.
If the notes are not called, the payout at maturity will be par plus the contingent payment unless the stock finishes below the 80% 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, a cash amount equal to the value of those shares.
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 with step-up redemption threshold level feature
|
| Underlying stock: | Bank of America Corp. (Symbol: BAC)
|
| Amount: | $15,653,750
|
| Maturity: | Jan. 20, 2017
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| Coupon: | 9.35% per year, payable quarterly if Bank of America shares close at or above downside threshold level on determination date for that quarter
|
| Price: | Par of $10.00
|
| Payout at maturity: | Par plus contingent quarterly payment unless stock finishes below downside threshold level, in which case 0.58789 Bank of America shares or equivalent amount in cash
|
| Call: | Automatically at par plus contingent quarterly payment if stock closes at or above redemption level on any of first 11 review dates
|
| Initial share price: | $17.01
|
| Downside threshold: | $13.608, 80% of initial price
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| Redemption level: | $17.8605, 105% of initial share price, for first four call dates; $18.711, 110% of initial share price, for fifth through eighth call dates; $19.5615, 115% of initial share price, for ninth through 11th call dates
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| Pricing date: | Jan. 17
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| Settlement date: | Jan. 23
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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: | 2.25%
|
| Cusip: | 48127A286
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