By Marisa Wong
Madison, Wis., Oct. 12 - JPMorgan Chase & Co. priced $3.29 million of 0% single observation capped market plus notes due Oct. 18, 2012 linked to the performance of the Brazilian real relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
The starting spot rate is 1.7666 reais per dollar. The final spot rate will be the number of reais per dollar on Oct. 15, 2012.
A knock-out event will occur if the currency return is less than negative 30%.
If a knock-out event has occurred, the payout at maturity will be par plus the currency return. Otherwise, the payout will be par plus the currency return, subject to a minimum return of 11.8%.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Single observation capped market plus notes
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Underlying currency: | Brazilian real relative to dollar
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Amount: | $3.29 million
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Maturity: | Oct. 18, 2012
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus currency return if currency return is less than negative 30%; otherwise, par plus greater of currency return and 11.8%
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Initial spot rate: | 1.7666 reais per dollar
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Pricing date: | Oct. 7
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Settlement date: | Oct. 13
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 48125X4X1
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