By Angela McDaniels
Tacoma, Wash., Nov. 3 - JPMorgan Chase & Co. priced $2 million of contingent protection notes due Feb. 4, 2010 linked to the performance of the Canadian dollar relative to the Japanese yen, according to a 424B2 filing with the Securities and Exchange Commission.
The three-month notes will pay 2.55% for an annualized coupon of 10.2%. Interest is payable at maturity.
The payout at maturity will be par unless the intraday Canadian dollar/Japanese yen exchange rate declines below the strike rate by more than 5% during the life of the notes and the final spot rate is less than the strike rate, in which case the payout will be par minus the decline in the final spot rate from the strike rate.
The strike rate is 83.2828 yen per Canadian dollar, and the final spot rate will equal the U.S. dollar/Japanese yen spot rate on Feb. 1, 2010 divided by the U.S. dollar/Canadian dollar spot rate on that date.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent protection notes
|
| Underlying currency: | Canadian dollar relative to Japanese yen
|
| Amount: | $2 million
|
| Maturity: | Feb. 4, 2010
|
| Coupon: | 10.2%, payable at maturity
|
| Price: | Par
|
| Payout at maturity: | If Canadian dollar/Japanese yen exchange rate falls below strike rate by more than 5% during life of notes and final spot rate is less than strike rate, par minus decline in final spot rate from strike rate; otherwise, par
|
| Strike rate: | 83.2828 yen per Canadian dollar
|
| Pricing date: | Oct. 30
|
| Settlement date: | Nov. 4
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 0.5%
|
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