By Susanna Moon
Chicago, Oct. 8 - JPMorgan Chase & Co. priced $1.31 million of 0% autocallable contingent interest notes due Oct. 17, 2014 linked to the performance of the Mexican peso relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay contingent quarterly interest at an annual rate of 10.65% if the peso closes above the 90% barrier level on the review date for that quarter.
The notes will be called at par plus the contingent interest payment if the currency closes above initial level on any review date other than the final review date.
If the notes are not called and the peso finishes at or above the 90% trigger level, the payout at maturity will be par plus the contingent interest payment.
Otherwise, investors will be fully exposed to any losses.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying currency: | Mexican peso relative to dollar
|
| Amount: | $1.31 million
|
| Maturity: | Oct. 17, 2014
|
| Coupon: | 10.65% for each quarter that peso closes above barrier level for that review date
|
| Price: | Par
|
| Payout at maturity: | Par plus contingent interest if peso closes above barrier level; otherwise, fully exposure to losses
|
| Call: | At par plus contingent interest payment if currency closes above initial level on any review date other than final review date
|
| Initial spot rate: | 13.12875 Mexican pesos per dollar
|
| Barrier level: | 90% of initial level
|
| Pricing date: | Oct. 4
|
| Settlement date: | Oct. 9
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48126NSU2
|
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