By Jennifer Chiou
New York, May 21 - JPMorgan Chase & Co. priced $1,885,000 of 0% dual directional buffered review notes due June 4, 2015 linked to the Brazilian real relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 17% if the currency closes at or above the initial level on any monthly review date beginning on June 16.
If the notes are not called and the currency falls by up to the contingent buffer of 15%, the payout at maturity will be par plus the absolute value of the return.
If the currency finishes below the 85% barrier level, investors will be fully exposed to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional buffered review notes
|
| Underlying currency: | Brazilian real relative to the dollar
|
| Amount: | $1,885,000
|
| Maturity: | June 4, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If currency falls by up to the contingent buffer, par plus absolute value of the return; if currency finishes below the 85% barrier level, full exposure to any losses
|
| Call: | At par plus 17% per year if currency closes at or above the initial level on any review date beginning on June 16
|
| Initial level: | 2.211
|
| Contingent buffer: | 15%
|
| Pricing date: | May 16
|
| Settlement date: | May 21
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48126N6M4
|
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