Published on 10/4/2011 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $540,000 capped single observation knock-out notes tied to 15 stocks
By Marisa Wong
Madison, Wis., Oct. 4 - JPMorgan Chase & Co. priced $540,000 of 0% capped single observation knock-out notes due Oct. 17, 2012 linked to a basket of 15 stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The equally weighted basket consists of Apple Inc., Broadcom Corp., Corning Inc., EMC Corp., Google Inc., International Business Machines Corp., Intel Corp., Linear Technology Corp., Marvell Technology Group Ltd., NetApp, Inc., Oracle Corp., Qualcomm Inc., Riverbed Technology, Inc., SanDisk Corp. and Symantec Corp.
The basket level on any day is equal to 100 plus the sum of the weighted returns of the basket stocks.
A knock-out event occurs if the final basket level is less than the initial level by more than 20%.
If a knock-out event occurs, the payout at maturity will be par plus the basket return, and investors will be fully exposed to the share price decline. Otherwise, the payout will be par plus the greater of the basket return and a contingent minimum return of at least 7.57%. The payout will be subject to a maximum return of 20%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped single observation knock-out notes
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| Underlying stocks: | Apple Inc. (Nasdaq: AAPL), Broadcom Corp. (Nasdaq: BRCM), Corning Inc. (NYSE: GLW), EMC Corp. (NYSE: EMC), Google Inc. (Nasdaq: GOOG), International Business Machines Corp. (NYSE: IBM), Intel Corp. (Nasdaq: INTC), Linear Technology Corp. (Nasdaq: LLTC), Marvell Technology Group Ltd. (Nasdaq: MRVL), NetApp, Inc. (Nasdaq: NTAP), Oracle Corp. (Nasdaq: ORCL), Qualcomm Inc. (Nasdaq: QCOM), Riverbed Technology, Inc. (Nasdaq: RVBD), SanDisk Corp. (Nasdaq: SNDK) and Symantec Corp. (Nasdaq: SYMC)
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| Amount: | $540,000
|
| Maturity: | Oct. 17, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket falls by more than 20%, par plus basket return, with full exposure to losses; otherwise, par plus greater of basket return and 7.57%, with return capped at 20%
|
| Initial prices: | $381.18 for Apple, $33.29 for Broadcom, $12.36 for Corning, $20.99 for EMC, $514.38 for Google, $175.03 for IBM, $21.33 for Intel, $27.65 for Linear, $14.53 for Marvell, $33.94 for NetApp, $28.74 for Oracle, $48.63 for Qualcomm, $19.96 for Riverbed, $40.35 for SanDisk, $16.30 for Symantec
|
| Pricing date: | Sept. 30
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| Settlement date: | Oct. 5
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48125X4A1
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