By Wendy Van Sickle
Columbus, Ohio, May 23 – JPMorgan Chase & Co. priced $1,000 of 0% capped enhanced participation notes due June 23, 2017 linked to the performance of the U.S. dollar relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.
The exchange rate is expressed as the number of dollars needed to buy one euro. An increase in the exchange rate means that the dollar has depreciated relative to the euro. Conversely, a decrease in the exchange rate means that the dollar has appreciated relative to the euro. By purchasing the notes, investors are taking the view that the currency return on the determination date will be positive, which means it will take fewer dollars to purchase one euro at the final exchange rate than at the initial exchange rate.
If the currency return is positive or zero, the payout at maturity will be par plus 120% of the currency return up to a maximum settlement amount of $2,200.
If the currency return is negative, investors will be fully exposed to the decline.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Capped enhanced participation currency-linked notes
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| Underlying currency: | Dollar relative to euro
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| Amount: | $1,000
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| Maturity: | June 9, 2017
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If currency return is positive, par plus 120% of currency return, capped at payout of $2,200 per $1,000 principal amount; if currency return is negative, full exposure to losses
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| Initial rate: | 1.12050
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| Pricing date: | May 19
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| Settlement date: | May 26
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48128GYA2
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