By Marisa Wong
Madison, Wis., Sept. 4 - JPMorgan Chase & Co. priced $23.05 million of contingent income autocallable securities due Sept. 4, 2014 linked to Delta Air Lines, Inc. shares, according to an FWP filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon of 3.1125% if Delta Air Lines stock closes at or above the 60% 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 three 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 downside threshold level, in which case the payout will be a number of Delta Air Lines 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: | Delta Air Lines, Inc. (Symbol: DAL)
|
| Amount: | $23,045,080
|
| Maturity: | Sept. 4, 2014
|
| Contingent coupon: | 3.1125% per quarter, payable if Delta Air Lines 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, 0.50684 Delta Air Lines 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 three quarterly determination dates
|
| Initial share price: | $19.73
|
| Downside threshold level: $11.838, 60% of initial share price
|
| Pricing date: | Aug. 30
|
| Settlement date: | Sept. 5
|
| Agent: | J.P. Morgan Securities LLC with distribution through Morgan Stanley Smith Barney LLC
|
| Fees: | 1.5%
|
| Cusip: | 48126H522
|
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