By Marisa Wong
Madison, Wis., March 25 - JPMorgan Chase & Co. priced $2.78 million of 0% capped dual directional buffered notes due April 2, 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 peso appreciates relative to the dollar, the payout at maturity will be par plus the currency gain, up to a maximum return of 6.25%.
If the peso depreciates relative to the dollar but the currency return is greater than or equal to negative 13%, the payout will be par plus the absolute value of the return.
Otherwise, investors will be fully exposed to any decline.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped dual directional buffered notes
|
| Underlying currency: | Mexican peso relative to dollar
|
| Amount: | $2.78 million
|
| Maturity: | April 2, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If peso strengthens relative to dollar, par plus currency gain, capped at 6.25%; if peso weakens but currency return is at least negative 13%, par plus absolute value of return; otherwise full exposure to any decline
|
| Initial spot rate: | 12.3617
|
| Pricing date: | March 21
|
| Settlement date: | March 26
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48126DR92
|
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