By Susanna Moon
Chicago, Sept. 27 - JPMorgan Chase & Co. priced $160,000 of contingent interest notes due Sept. 30, 2015 linked to a basket of four equally weighted currencies relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.
The underlying currencies are the Brazilian real, the Russian ruble, Indian rupee and Chinese renminbi.
If the basket closes at or above its initial level on any annual review date, the notes will pay a coupon of 15.5%.
The payout at maturity will be par plus any basket gain.
Investors will receive par if the basket falls by up to 15% and will be fully exposed to any losses if the basket drops below the 85% trigger level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Contingent interest notes
|
| Underlying basket: | Brazilian real, the Russian ruble, Indian rupee and Chinese renminbi, equally weighted
|
| Amount: | $160,000
|
| Maturity: | Sept. 30, 2015
|
| Coupon: | If basket closes at or above initial level on any annual review date, 15.5% for that year
|
| Price: | Par
|
| Payout at maturity: | Par plus any basket gain; par if the basket falls by up to 15%; full exposure to any losses if basket drops below 85% trigger level
|
| Initial levels: | 2.0251 for real, 31.0854 for ruble, 53.5340 for rupee and 6.3430 for renminbi
|
| Trigger levels: | 85% of initial level
|
| Pricing date: | Sept. 25
|
| Settlement date: | Sept. 28
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 2.5%
|
| Cusip: | 48125V5E6
|
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