By Angela McDaniels
Tacoma, Wash., Sept. 19 – JPMorgan Chase & Co. priced $2 million of contingent income autocallable securities due Sept. 22, 2015 linked to the common stock of Twitter, Inc., according to a 424B2 filing with the Securities and Exchange Commission.
If Twitter shares close at or above the downside threshold level, 60% of the initial share price, on a monthly determination date, the notes will pay a 1.2333% contingent payment that month, which is equivalent to about 14.8% per year.
The notes will be called at par of $10 plus the contingent coupon if Twitter shares close at or above the initial share price on any monthly determination date other than the final determination date.
If the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final share price is less than the initial share price or, at the issuer’s option, receive a number of Twitter shares equal to $10 divided by the initial share price.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent income autocallable securities
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| Underlying stock: | Twitter, Inc. (Symbol: TWTR)
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| Amount: | $2 million
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| Maturity: | Sept. 22, 2015
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| Coupon: | 14.8% per year, payable monthly if Twitter shares close at or above downside threshold level on determination date for that month
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| Price: | Par of $10.00
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| Payout at maturity: | If final share price is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, 1% loss for every 1% that final share price is less than initial share price or, at issuer’s option, 0.19724 Twitter shares
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| Call: | At par plus contingent coupon if Twitter shares close at or above initial share price on any monthly determination date other than final determination date
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| Initial share price: | $50.70
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| Downside threshold: | $30.42, 60% of initial share price
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| Pricing date: | Sept. 17
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| Settlement date: | Sept. 22
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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: | 0.15% selling commission and 0.25% structuring fee payable to Morgan Stanley
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| Cusip: | 481246254
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