By Jennifer Chiou
New York, Feb. 4 - JPMorgan Chase & Co. priced $5 million of 0% digital plus buffered notes due Feb. 8, 2013 linked to a basket of five currencies against the yen, according to a 424B2 filing with the Securities and Exchange Commission.
The basket contains equal weights of the Canadian dollar, Australian dollar, New Zealand dollar, Brazilian real and U.S. dollar.
The basket return will be averaged using the values on the following averaging dates: Jan. 30, 2013, Jan. 31, 2013, Feb. 1, 2013, Feb. 4, 2013 and Feb. 5, 2013. If the basket return is positive, the payout at maturity will be par plus the greater of 21% and the return.
Investors will receive par for losses up to 15% and will share in losses beyond the buffer at a rate of 1.1765% per 1% drop.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Digital plus buffered notes
|
| Underlying assets: | Equal weights of the Canadian dollar, Australian dollar, New Zealand dollar, Brazilian real and U.S. dollar against the yen
|
| Amount: | $5 million
|
| Maturity: | Feb. 8, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus greater of 21% and the return if basket return is positive; par for losses up to 15%; investors share in losses beyond the buffer at a rate of 1.1765% per 1% drop
|
| Initial rates: | 82.6 for Canadian dollar, 82.3 for Australian dollar, 63.6 for New Zealand dollar, 49 for Brazilian real and 81.7 for U.S. dollar, in yen per one unit
|
| Final return: | Average of basket returns on the five trading days ending Feb. 5, 2013
|
| Pricing date: | Feb. 2
|
| Settlement date: | Feb. 7
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48125XDE3
|
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