By Susanna Moon
Chicago, Nov. 20 - JPMorgan Chase & Co. priced $2.17 million of 0% contingent absolute return autocallable optimization securities due Nov. 22, 2013 linked to Southwestern Energy Co. shares, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 11% if Southwestern Energy stock closes at or above the initial share price on any quarterly observation date.
If the notes are not called and the final share price is at or above the 70% trigger level, the payout at maturity will be par plus the absolute value of the return.
Otherwise, investors will be fully exposed to any losses.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent absolute return autocallable optimization securities
|
| Underlying stock: | Southwestern Energy Co. (NYSE: SWN)
|
| Amount: | $2,168,190
|
| Maturity: | Nov. 22, 2013
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If final share price is greater than or equal to trigger price, par plus absolute value of stock return; otherwise, full exposure to stock decline
|
| Call: | At par plus 11% per year if Southwestern Energy stock closes at or above initial share price on any quarterly observation date
|
| Initial share price: | $35.64
|
| Trigger price: | $24.95, 70% of initial share price
|
| Pricing date: | Nov. 16
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| Settlement date: | Nov. 21
|
| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 46637G157
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