JPMorgan to price six-month capped notes linked to Australian dollar

By Angela McDaniels

Tacoma, Wash., June 24 – JPMorgan Chase & Co. plans to price 0% capped notes due Dec. 31, 2014 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 issue price will be 101.75 to 102.75 and will be set at pricing.

The issuer said that by purchasing these notes, investors are taking the view that the currency return will be positive, which means that the final exchange rate will be less than the strike rate (it will take fewer U.S. dollars to purchase one Australian dollar at the final exchange rate than at the strike rate).

The strike rate will be 98% of the initial exchange rate.

If the currency return is positive, i.e., the final exchange rate is less than the strike rate, the payout at maturity will be par plus the currency return, subject to a maximum settlement amount of $1,980 per $1,000 principal amount of notes. If the currency return is zero or negative, the payout will be par.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price June 26 and settle July 3.

The Cusip number is 48126N6Z5.

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