By Angela McDaniels
Tacoma, Wash., July 8 - JPMorgan Chase & Co. priced $1.35 million of 0% contingent buffered step-up digital notes due July 16, 2014 linked to the Mexican peso relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The currency return will be positive if the peso appreciates relative to the dollar.
If the currency return is greater than or equal to 5%, the payout at maturity will be par plus 13.15%.
If the currency return is zero or positive but is less than 5%, the payout will be par plus 5%.
If the currency return is negative but not less than negative 25%, the payout will be par.
If the currency return is less than negative 25%, 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: | Contingent buffered step-up digital notes
|
| Underlying currency: | Mexican peso measured relative to dollar
|
| Amount: | $1,345,000
|
| Maturity: | July 16, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If currency return is greater than or equal to 5%, par plus 13.15%; if currency return is zero or positive but less than 5%, par plus 5%; if currency return is negative but not less than negative 25%, par; if currency return is less than negative 25%, 1% loss for every 1% decline in currency return
|
| Initial spot rate: | 13.07625 pesos per dollar
|
| Pricing date: | July 3
|
| Settlement date: | July 9
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48126D5M7
|
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