By Angela McDaniels
Tacoma, Wash., Aug. 16 - JPMorgan Chase & Co. priced $2.25 million of 0% single observation capped market plus notes due Feb. 17, 2012 linked to the performance of the Australian dollar relative to the U.S. dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The final spot rate will be the number of U.S. dollars per Australian dollar on Feb. 14, 2012.
A knock-out event will occur if the currency return is less than negative 10%.
If a knock-out event has occurred, the payout at maturity will be par plus the currency return. Otherwise, the payout will be par plus the currency return, subject to a minimum return of 4% and a maximum return of 10%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Single observation capped market plus notes
|
| Underlying currency: | Australian dollar relative to U.S. dollar
|
| Amount: | $2,245,000
|
| Maturity: | Feb. 17, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus currency return if currency return is less than negative 10%; otherwise, par plus currency return, subject to minimum return of 4% and maximum return of 10%
|
| Initial spot rate: | 1.0328 U.S. dollars per Australian dollar
|
| Pricing date: | Aug. 12
|
| Settlement date: | Aug. 17
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.5%
|
| Cusip: | 48125XJ56
|
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