By Jennifer Chiou
New York, Aug. 20 - JPMorgan Chase & Co. priced $7,126,500 of contingent income autocallable securities due Aug. 19, 2016 linked to BlackRock, Inc. shares, according to an FWP filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of 2.15%, equivalent to 8.6% per year, if BlackRock stock closes at or above the 75% downside threshold level on the determination date for that quarter.
If the stock closes at or above the initial share price on any of the first 11 quarterly determination dates, the notes will be redeemed at par of $10 plus the contingent payment.
If the notes are not called, the payout at maturity will be par plus the contingent payment unless the stock finishes below the 75% downside threshold level, in which case the payout will be a number of BlackRock 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. Distribution is through Morgan Stanley Smith Barney LLC.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying stock: | BlackRock, Inc. (NYSE: BLK)
|
| Amount: | $7,126,500
|
| Maturity: | Aug. 19, 2016
|
| Contingent coupon: | 2.15% (8.6% per year), payable quarterly if BlackRock 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, 0.03702 BlackRock shares or, at issuer's option, cash amount equal to value of those shares
|
| Call: | At par plus contingent payment if closing share price is greater than or equal to initial level on any of first 11 quarterly determination dates
|
| Initial share price: | $270.15
|
| Downside threshold level: | $202.6125, 75% of initial share price
|
| Pricing date: | Aug. 16
|
| Settlement date: | Aug. 21
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.25%
|
| Cusip: | 48126H563
|
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