By Toni Weeks
San Luis Obispo, Calif., Oct. 7 - JPMorgan Chase & Co. priced $4.15 million of 0% contingent buffered step-up digital notes due Oct. 22, 2014 linked to the performance of 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 the high digital return of 10.6%.
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 have 1-to-1 exposure to the decline from the initial level.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Contingent buffered step-up digital notes
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Underlying currency: | Mexican peso relative to dollar
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Amount: | $4,145,000
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Maturity: | Oct. 22, 2014
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 10.6% if return is greater than or equal to 5%; if currency return is greater than or equal to 0% but less than 5%, par plus 5%; par if currency return is negative but not less than negative 25%; otherwise, full exposure to decline from initial spot rate
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Initial spot rate: | 13.26375 pesos per dollar
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Pricing date: | Oct. 3
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Settlement date: | Oct. 8
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48126NSV0
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