By Angela McDaniels
Tacoma, Wash., June 26 - JPMorgan Chase & Co. priced $2 million of contingent income autocallable securities due June 27, 2013 linked to the common stock of Las Vegas Sands Corp., according to a 424B2 filing with the Securities and Exchange Commission.
If Las Vegas Sands stock closes at or above the downside threshold level - 70% of the initial share price - on a quarterly determination date, investors will receive a contingent payment of $0.5375 for each $10.00 note. Otherwise, no contingent payment will be made for that period. The contingent payment is equivalent to 21.5% per year.
If the closing share price is greater than or equal to the initial share price on any of the first three quarterly determination dates, the notes will be automatically redeemed at par plus the contingent payment.
If the notes are not called and the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the contingent payment. If the final share price is less than the downside threshold level, the payout will be a number of Las Vegas Sands shares equal to $10.00 divided by the initial share price or, at the issuer's option, a cash amount equal to the value of those shares.
J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent income autocallable securities
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| Underlying stock: | Las Vegas Sands Corp. (NYSE: LVS)
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| Amount: | $2 million
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| Maturity: | June 27, 2013
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| Contingent payment: | If Las Vegas Sands stock closes at or above downside threshold on quarterly determination date, $0.5375 per note; otherwise, no contingent payment will be made for that period
|
| Price: | Par of $10.00
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| Payout at maturity: | If final share price is greater than or equal to downside threshold, par plus $0.5375; if final share price is less than downside threshold, 0.22391 Las Vegas Sands shares or cash amount equal to value of those shares
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| Call: | Automatically at par plus $0.5375 if closing share price is greater than or equal to downside threshold level on Sept. 24, 2012, Dec. 21, 2012 or March 22, 2013
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| Initial share price: | $44.66
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| Downside threshold: | $31.262, 70% of initial share price
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| Pricing date: | June 22
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| Settlement date: | June 27
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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: | 1.5%
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| Cusip: | 48126E503
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