By Jennifer Chiou
New York, Sept. 11 - JPMorgan Chase & Co. priced $1 million of autocallable contingent interest notes due Sept. 25, 2013 linked to the American Depositary Shares of Vale SA, according to a 424B2 filing with the Securities and Exchange Commission.
If Vale ADSs close at or above the trigger level, 60% of the initial ADS price, on a quarterly review date, the notes will pay a 3.0125% coupon that quarter, which is equivalent to 12.05% per year. If Vale ADSs close below the trigger level, no coupon will be paid that quarter.
If Vale ADSs close at or above the initial share price on any of the review dates other than the final review date, the notes will be automatically called at par plus 3.0125%.
If the notes have not been called and the final ADS price is greater than or equal to the trigger level, the payout at maturity will be par plus 3.0125%. If the final ADS price is less than the trigger level, investors will be exposed to the decline of Vale ADSs from the initial share price.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying stock: | American Depositary Shares of Vale SA (Symbol: VALE)
|
| Amount: | $1 million
|
| Maturity: | Sept. 25, 2013
|
| Coupon: | 12.05% annualized if shares close at or above interest barrier on quarterly review date
|
| Price: | Par
|
| Payout at maturity: | If final share price is at or above trigger level, par plus contingent quarterly coupon; otherwise, full exposure to losses
|
| Call: | At par plus contingent interest payment if Vale ADSs close at or above initial share price on Dec. 20, March 21, 2013 or June 20, 2013
|
| Initial share price: | $18.03
|
| Interest barrier/trigger level: | $10.818, 60% of initial share price
|
| Pricing date: | Sept. 7
|
| Settlement date: | Sept. 12
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125V6F2
|
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