Published on 3/30/2011 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $2.18 million 20% reverse exchangeables on LDK Solar
By Jennifer Chiou
New York, March 30 - JPMorgan Chase & Co. priced $2.18 million of 20% annualized reverse exchangeable notes due June 30, 2011 linked to LDK Solar Co., Ltd. American Depositary Shares, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The payout at maturity will be par unless the final ADS price is less than the initial price and falls by more than 35% during the life of the notes, in which case the payout will be a number of LDK Solar ADSs equal to $1,000 divided by the initial price or, at JPMorgan's option, a cash amount equal to the value of those ADSs.
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 ADS: | LDK Solar Co., Ltd. (Symbol: LDK)
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Amount: | $2,176,000
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Maturity: | June 30, 2011
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Coupon: | 20%, payable monthly
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Price: | Par
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Payout at maturity: | Par unless final ADS price is less than the initial price and falls by more than 35% during the life of the notes, in which case a number of LDK Solar ADSs equal to $1,000 divided by the initial price or, at JPMorgan's option, an equal cash amount
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Initial share price: | $11.71
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Protection amount: | $4.0985, 35% of initial share price
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Pricing date: | March 28
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Settlement date: | March 31
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1.9%, including 1.575% for selling concessions
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Cusip: | 48125XHQ2
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