By Angela McDaniels
Tacoma, Wash., Dec. 8 - JPMorgan Chase & Co. said its agent, J.P. Morgan Securities LLC, has sold $7 million of its 0% double short US 10 year Treasury futures exchange-traded notes due Sept. 30, 2025 as of Dec. 7.
The notes are linked to the NYSE US 10 Year Treasury Futures index, according to a 424B2 filing with the Securities and Exchange Commission.
The agent purchased $5 million of the notes from the issuer on Oct. 4, 2010 and another $5 million on May 9, 2011 at par. The remaining $3 million of notes purchased by the agent will be sold from time to time at varying prices.
The issuer is authorized to issue up to $200 million of the notes.
The index aims to replicate the returns of maintaining a rolling long position in CBOT U.S. Treasury bond futures contracts.
The notes are putable at any time at the closing note value, subject to a minimum of 50,000 securities and a repurchase fee of 0.125%.
The notes became callable on Oct. 7, 2011 at the closing note value. The notes will also be automatically called if the closing note value is equal to $0, in which case investors will receive nothing.
The initial closing note value was $50 per note.
On each subsequent trading day, the closing note value is equal to (i) the sum of (a) the closing note value of the preceding reset date, plus (b) the reset exposure amount of the preceding reset date times the index return on that day, plus (c) the cash return amount for that day, less (ii) the investor fee of 85 basis points per year for that day.
The initial reset exposure amount is equal to negative 200% times the principal amount. On each subsequent reset date, the exposure amount is equal to negative 200% times the closing note value on the preceding reset determination date.
The exposure amount will be reset to negative 200% after the last trading day in each calendar quarter or after any trading day on which the current percentage exposure is greater in magnitude than negative 220% or less in magnitude than negative 180%.
On a reset date, the current exposure amount is equal to the reset exposure amount. On any other trading day, the current exposure amount is equal to the reset exposure amount on the preceding reset date times the index closing level on that day, divided by the index closing level on the preceding reset date.
The cash return amount is based on the Federal Funds rate.
The payout at maturity will be a cash payment equal to the closing note value on Sept. 25, 2025.
The notes are listed on NYSE Arca under the symbol "DSXJ."
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Double short US 10-year Treasury futures exchange-traded notes
|
| Underlying index: | NYSE US 10 Year Treasury Futures index
|
| Amount: | $7 million as of Dec. 7
|
| Maturity: | Sept. 30, 2025
|
| Coupon: | 0%
|
| Principal amount: | $50
|
| Payout at maturity: | Cash amount equal to closing note value on Sept. 25, 2025, which gives 200% inverse leveraged exposure to index return and is reduced by investor fee of 85 bps per year
|
| Put option: | At any time, subject to minimum of 50,000 notes and repurchase fee of 0.125%
|
| Call option: | From Oct. 7, 2011 onward
|
| Initial index level: | 173.96
|
| Inception date: | Oct. 4, 2010
|
| Initial settlement date: | Oct. 7, 2010
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Listing: | NYSE Arca: DSXJ
|
| Cusip: | 46634X823
|
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