Published on 2/7/2012 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $14.5 million callable contingent interest notes on Financial Select
By Marisa Wong
Madison, Wis., Feb. 7 - JPMorgan Chase & Co. priced $14.5 million of autocallable contingent interest notes due Feb. 21, 2013 linked to the Financial Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
If the exchange-traded fund closes at or above the trigger level, 80% of the initial share price, on a review date, the notes will pay a 3.25% coupon that quarter, which is equivalent to 13% per year. If the ETF closes below the trigger level, no coupon will be paid that quarter. The review dates are May 15, Aug. 15, 2012, Nov. 15, 2012 and Feb. 15, 2013.
If the ETF closes at or above the initial share price on any of the first three review dates, the notes will be automatically called at par plus 3.25%.
If the notes have not been called and the final share price is greater than or equal to the trigger level, the payout at maturity will be par plus 3.25%. If the final share price is less than the trigger level, investors will be exposed to the decline of the ETF from the initial share price.
J.P. Morgan Securities LLC is the underwriter.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable contingent interest notes
|
| Underlying ETF: | Financial Select Sector SPDR fund
|
| Amount: | $14,502,000
|
| Maturity: | Feb. 21, 2013
|
| Coupon: | If ETF closes at or above trigger level on review date, 3.25% that quarter; otherwise, no coupon paid that quarter; review dates are May 15, Aug. 15, 2012, Nov. 15, 2012 and Feb. 15, 2013
|
| Price: | Par
|
| Payout at maturity: | If final share price is greater than or equal to trigger level, par plus 3.25%; otherwise, full exposure to decline of ETF from initial share price
|
| Call: | Automatically at par plus 3.25% if ETF closes at or above initial share price on any of first three review dates
|
| Initial share price: | $14.73
|
| Trigger level: | $11.784, 80% of initial share price
|
| Pricing date: | Feb. 3
|
| Settlement date: | Feb. 8
|
| Underwriter: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125VLQ1
|
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