By Toni Weeks
San Luis Obispo, Calif., April 30 - JPMorgan Chase & Co. priced $1 million of 0% autocallable contingent interest notes due May 7, 2015 linked to the performance of the Mexican peso relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay contingent quarterly interest at an annual rate of 7% if the peso spot rate is less than or equal to the interest barrier, 107% of the starting spot rate. If the spot rate on any quarterly review date is greater than the interest barrier, meaning it has depreciated by more than 7% relative to the dollar, no contingent interest payment will be made with respect to that review date.
The notes will be called at par plus the contingent interest payment if the spot rate is less than or equal to the starting spot rate on any quarterly review date other than the final date.
A trigger event occurs if the final spot rate is greater than the trigger rate, 107% of the initial spot rate.
If the notes are not called and a trigger event has not occurred, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to any losses.
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: | $1 million
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| Maturity: | May 7, 2015
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| Coupon: | 7% for each quarter that peso closes at or below interest barrier
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent interest if peso closes at or below trigger level; otherwise, full exposure to losses
|
| Call: | At par plus contingent interest payment if spot rate finishes at or below initial spot rate on any quarterly review date other than final review date
|
| Initial spot rate: | 13.12675 Mexican pesos per dollar
|
| Barrier/trigger level: | 14.04562, 107% of initial rate90% of initial level
|
| Pricing date: | April 28
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| Settlement date: | April 30
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48126N6D4
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