By Jennifer Chiou
New York, Dec. 16 – JPMorgan Chase & Co. priced $10,920,500 of contingent income autocallable securities with step-up redemption threshold level feature due Dec. 15, 2017 linked to Bank of America Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at a rate of 8% 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 shares close at or above the 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% of the initial share price for the first four determination dates, stepping up to 110% of the initial share price for the next four determination dates and to 115% of the initial share price for the final determination dates.
If the notes are not called and Bank of America 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 Bank of America 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 Smith Barney LLC as distributor.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities with step-up redemption threshold level feature
|
| Underlying stock: | Bank of America Corp. (NYSE: BAC)
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| Amount: | $10,920,500
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| Maturity: | Dec. 15, 2017
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| Coupon: | 8%, payable quarterly if stock closes at or above downside threshold on review date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | Par if Bank of America stock finishes at or above downside threshold level; otherwise, a number of shares of Bank of America stock equal to $10 divided by initial share price or, at issuer’s option, cash value of those shares
|
| Call: | Automatically at par plus contingent coupon if shares close at or above redemption threshold level on any quarterly determination date other than final date; redemption threshold level will be 105% of the initial share price for the first four determination dates, stepping up to 110% of the initial share price for the next four dates and to 115% of the initial share price for the final determination dates
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| Initial share price: | $17.13
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| Downside threshold price: $13.704, 80% of initial price
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| Exchange ratio: | 0.58377
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| Pricing date: | Dec. 12
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| Settlement date: | Dec. 17
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| Agent: | J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC
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| Fees: | 2.5%
|
| Cusip: | 48127P499
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