By Susanna Moon
Chicago, Aug. 13 – JPMorgan Chase & Co. priced $640,000 of 0% contingent absolute return autocallable optimization securities due Aug. 17, 2015 linked to VMware Inc. 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 9% if VMware stock closes at or above the initial share price on any quarterly observation date.
If the stock finishes at or above the 75% 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.
J.P. Morgan Securities LLC and UBS Financial Services Inc. are the underwriters.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Contingent absolute return autocallable optimization securities
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| Underlying stock: | VMware Inc. (Symbol: VMW)
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| Amount: | $640,000
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| Maturity: | Aug. 17, 2015
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| Coupon: | 0%
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| Price: | Par of $10.00
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| Payout at maturity: | If stock finishes at or above trigger level, par plus absolute value of stock return; otherwise, full exposure to losses
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| Call: | At par plus 9% per year if VMware stock closes at or above initial share price on any quarterly observation date
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| Initial share price: | $98.61
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| Trigger price: | $73.96, 75% of initial share price
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| Pricing date: | Aug. 8
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| Settlement date: | Aug. 13
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| Underwriters: | J.P. Morgan Securities LLC and UBS Financial Services Inc.
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| Fees: | 1.5%
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| Cusip: | 481246486
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