By Jennifer Chiou
New York, April 15 - JPMorgan Chase & Co. priced $4,247,850 of contingent income autocallable securities due April 16, 2015 linked to Valero Energy Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission.
If Valero stock closes at or above the 75% downside threshold level on a quarterly review date, the notes will pay a contingent payment of 3% for that quarter.
If the stock closes at or above the initial level on any determination date other than the final determination date, 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 Valero 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 underwriter with Morgan Stanley Smith Barney LLC as distributor.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
|
| Underlying stock: | Valero Energy Corp. (Symbol: VLO)
|
| Amount: | $4,247,850
|
| Maturity: | April 16, 2015
|
| Coupon: | 3% per quarter if closing price is at least 75% of initial price on quarterly determination date; otherwise, none
|
| Price: | Par of $10
|
| Payout at maturity: | If final share price is at least 75% of initial price, par plus contingent payment; otherwise, 0.19623 Valero shares
|
| Initial price: | $50.96
|
| Downside threshold: | $38.22, 75% of initial share price
|
| Call: | At par plus contingent coupon if stock closes at or above initial price on any determination date other than final determination date
|
| Pricing date: | April 11
|
| Settlement date: | April 16
|
| Agent: | J.P. Morgan Stanley Securities LLC with Morgan Stanley Smith Barney LLC as distributor
|
| Fees: | 1.5%
|
| Cusip: | 48127E361
|
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