JPMorgan plans airbag phoenix autocallables linked to Valero Energy

By Susanna Moon

Chicago, April 16 - JPMorgan Chase & Co. plans to price airbag phoenix autocallable optimization securities due Oct. 27, 2015 linked to Valero Energy Corp. shares, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annual rate of 9% to 11.8% 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 exact contingent coupon rate will be set at pricing.

The notes will be called at par if Valero Energy shares close at or above the initial share price on any quarterly observation date.

If the notes are not called and the final price of Valero Energy shares is greater than or equal to the conversion price, 85% of the initial share price, then the payout at maturity will be par.

Otherwise, investors will receive a number of Valero Energy shares equal to $1,000 divided by the conversion price.

UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.

The notes will price on April 21 and settle on April 24.

The Cusip number is 48127F699.

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