Published on 5/24/2011 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.5 million autocallable buffered enhanced notes tied to oil, copper, corn
By Angela McDaniels
Tacoma, Wash., May 24 - JPMorgan Chase & Co. priced $2.5 million of 0% autocallable buffered return enhanced notes due June 1, 2012 linked to a commodity basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes equal weights of Brent crude oil futures contracts, grade A copper and corn futures contracts.
If the closing level of the basket on Nov. 21, 2011 is at or above the initial level, the notes will be called at par plus a call premium of 6.5%.
If the notes have not been called and the final basket level is greater than the initial level, the payout at maturity will be par plus 1.5 times the basket return, subject to a maximum return of 30%. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable buffered return enhanced notes
|
| Underlying commodities: | Brent crude oil futures contracts, grade A copper and corn futures contracts, equally weighted
|
| Amount: | $2,496,000
|
| Maturity: | June 1, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 1.5 times any basket gain, up to maximum return of 30%; par if basket falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Call: | Automatically at par plus 6.5% if closing basket level on Nov. 21, 2011 is at or above initial level
|
| Initial prices: | $112.39 for oil futures contracts, $8,982.50 for copper, 759.5 cents for corn futures contracts
|
| Pricing date: | May 20
|
| Settlement date: | May 25
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XRP3
|
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