By Angela McDaniels
Tacoma, Wash., July 31 - JPMorgan Chase & Co. priced $3.78 million of 0% trigger digital optimization securities due July 30, 2015 linked to the performance of a basket of currencies relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes equal weights of the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi.
The payout at maturity will be par of $10 plus 56% if the basket return is zero or positive, meaning the basket has remained flat or appreciated relative to the dollar.
If the basket return is negative and the final basket level is greater than or equal to the trigger level, 85% of the initial level, the payout will be par.
If the final basket level is less than the trigger level, investors will be fully exposed to the basket's decline from its initial level.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Trigger digital optimization securities
|
| Underlying currencies: | Brazilian real, Russian ruble, Indian rupee and Chinese renminbi, equally weighted
|
| Amount: | $3,776,500
|
| Maturity: | July 30, 2015
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus 56% if basket return is zero or positive; if basket return is negative and final basket level is at least 85% of initial level, par; if final basket level is less than 85% of initial level, full exposure to basket's decline from initial level
|
| Initial exchange rates: | 2.0173 for real; 32.2575 for ruble; 55.5130 for rupee; 6.3325 for renminbi
|
| Pricing date: | July 27
|
| Settlement date: | July 31
|
| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
|
| Fees: | 2.5%
|
| Cusip: | 48126E842
|
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