Published on 9/1/2011 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $500,000 16.15% reverse exchangeables on U.S. Oil fund
By Susanna Moon
Chicago, Sept. 1 - JPMorgan Chase & Co. priced $500,000 of 16.15% annualized reverse exchangeable notes due March 6, 2012 linked to United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par in cash unless the fund dips below the protection price - 80% of the initial price - during the life of the notes and finishes below the initial price, in which case the payout will be a number of shares equal to $1,000 divided the initial share price.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Reverse exchangeable notes
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Underlying fund: | United States Oil Fund, LP
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Amount: | $500,000
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Maturity: | March 6, 2012
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Coupon: | 16.15%, payable monthly
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Price: | Par
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Payout at maturity: | Par unless fund falls by more than protection amount, in which case 29.0360 fund shares
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Initial level: | $34.44
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Protection amount: | $6.888, or 20% of initial price
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Pricing date: | Aug. 30
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Settlement date: | Sept. 2
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Agent: | J.P. Morgan Securities LLC
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Fees: | 2%, including 1.5% for selling concessions
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Cusip: | 48125XU53
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