By Susanna Moon
Chicago, April 24 - JPMorgan Chase & Co. priced $3.82 million of airbag phoenix autocallable optimization securities due Oct. 27, 2015 linked to Valero Energy Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 11.3% if Valero Energy shares close at or above the coupon barrier, 75% of the initial share price, on the observation date for that month.
The notes will be called at par plus the coupon if the stock closes at or above the initial share price on any quarterly observation date.
If the notes are not called, the payout at maturity will be par unless the final share price is less than the conversion price, in which case the payout will be a number of Valero Energy shares equal to $1,000 divided by the conversion price. The conversion price is 85% of the initial share price.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Airbag phoenix autocallable optimization securities
|
| Underlying stock: | Valero Energy Corp. (Symbol: VLO)
|
| Amount: | $3,822,000
|
| Maturity: | Oct. 27, 2015
|
| Coupon: | 11.3% annualized, payable monthly if Valero Energy shares close at or above coupon barrier on observation date for the month
|
| Price: | Par
|
| Payout at maturity: | If final share price is less than conversion price, 20.9249 Valero Energy shares; otherwise, par
|
| Call: | At par if Valero Energy shares close at or above the initial share price on any quarterly observation date
|
| Initial share price: | $56.22
|
| Coupon barrier level: | $42.17, 75% of initial price
|
| Conversion price: | $47.79, 85% of initial price
|
| Pricing date: | April 21
|
| Settlement date: | April 24
|
| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48127F699
|
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