Published on 8/24/2010 in the Prospect News Structured Products Daily.
New Issue: JPMorgan sells $4.97 million 8.5% callable yield notes on SPDR S&P, U.S. Oil Fund
By Susanna Moon
Chicago, Aug. 24 - JPMorgan Chase & Co. priced $4.97 million of 8.5% annualized callable yield notes due Feb. 25, 2011 based on the performance of the SPDR S&P 500 exchange-traded fund trust and the United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes are callable at par on Nov. 26.
The payout at maturity will be par unless either fund falls to or below its knock-in level - 70% of its initial level - during the life of the notes and finishes below the initial level, in which case investors will receive par plus the return of the worse performing fund.
J.P. Morgan Securities Inc. is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Callable yield notes
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Underlying components: | SPDR S&P 500 ETF trust and the United States Oil Fund, LP
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Amount: | $4,968,000
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Maturity: | Feb. 25, 2011
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Coupon: | 8.5% per year, payable monthly
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Price: | Par
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Payout at maturity: | If either fund falls to or below its knock-in level during the life of the notes and finishes below its initial level, par plus the return of the worse performing index; otherwise, par
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Call option: | At par on Nov. 26
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Initial levels: | $107.53 for SPDR; $32.95 for U.S. Oil
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Protection amount: | $32.259 for SPDR; $9.885 for U.S. Oil; 30% of initial levels
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Pricing date: | Aug. 20
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Settlement date: | Aug. 25
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 3.25%, including 1.75% for selling concessions
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Cusip: | 48124AZG5
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