By Toni Weeks
San Luis Obispo, Calif., Oct. 1 - JPMorgan Chase & Co. priced $800,000 of 0% autocallable contingent interest notes due Oct. 9, 2014 linked to the performance of the Mexican peso relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
If the spot rate on any quarterly review date is less than or equal to the interest barrier, 110% of the initial spot rate, investors will receive an annualized contingent interest payment of 10.5%.
If the spot rate on any review date other than the final review date is less than or equal to the initial spot rate, the notes will be automatically called at par plus the contingent interest payment.
If the notes are not called and the final spot rate is equal to or less than the 110% trigger level, the payout at maturity will be par plus the contingent interest payment. Otherwise, investors will lose 1% for every 1% decline in the currency return.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying currency: | Mexican peso relative to dollar
|
| Amount: | $800,000
|
| Maturity: | Oct. 9, 2014
|
| Coupon: | 10.5%, paid quarterly if spot rate on any quarterly review date is less than interest barrier
|
| Price: | Par
|
| Payout at maturity: | If final spot rate is equal to or less than 110% trigger level, par plus contingent interest payment; otherwise 1% loss for every 1% decline in currency return
|
| Call: | Automatically at par plus contingent interest payment if spot rate on any review date other than final review date is less than or equal to initial spot rate
|
| Initial spot rate: | 13.138
|
| Interest barrier/trigger: | 14.4518, 110% of initial spot rate
|
| Pricing date: | Sept. 27
|
| Settlement date: | Oct. 2
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48126NSS7
|
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