Published on 5/17/2011 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $18.33 million autocallable buffered enhanced notes tied to copper, corn, oil
By Toni Weeks
San Diego, May 17 - JPMorgan Chase & Co. priced $18.33 million of 0% autocallable buffered return enhanced notes due May 24, 2012 linked to a basket of two futures contracts and one commodity, according to a 424B2 filing with the Securities and Exchange Commission.
The equally weighted basket components are the Brent crude oil futures contracts, copper and the corn futures contracts.
If the closing level of the basket is at or above the initial level on Nov. 14, 2011, the notes will be called at par plus a call premium of $60 per $1,000 note.
If the notes have not been called and the ending basket level is greater than the initial level, investors will receive par plus 1.5 times the gain in the basket, capped at a maximum total return of 30%.
Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable buffered return enhanced notes
|
| Underlying basket: | Brent crude oil futures contracts, copper and corn futures contracts, equally weighted
|
| Amount: | $18,332,000
|
| Maturity: | May 24, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If ending basket level is greater than initial level, par plus 1.5 times the basket gain, capped at 30%; par if basket falls by up to 10%, 1.1111% loss for every 1% decline beyond 10%
|
| Call: | Automatically at par plus 6% if closing basket level on Nov. 14, 2011 is at or above initial level
|
| Initial prices: | $113.83 for oil futures contracts, $8,857 for copper, 679 cents for corn futures contracts
|
| Pricing date: | May 13
|
| Settlement date: | May 18
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XQE9
|
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