By Marisa Wong
Madison, Wis., July 2 – JPMorgan Chase & Co. priced $8.11 million of 0% capped notes due Jan. 5, 2015 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 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.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped currency-linked notes
|
| Underlying currency: | Australian dollar, relative to U.S. dollar
|
| Amount: | $8,112,000
|
| Maturity: | Jan. 5, 2015
|
| Coupon: | 0%
|
| Price: | 102.25
|
| Payout at maturity: | If currency return is positive, par plus currency return, subject to a maximum settlement amount of $1,980 per $1,000 principal amount; if currency return is zero or negative, par
|
| Initial exchange rate: | 0.94385
|
| Strike rate: | 0.924973, 98% of initial rate
|
| Pricing date: | June 30
|
| Settlement date: | July 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.4%
|
| Cusip: | 48126N6Z5
|
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