Published on 7/13/2010 in the Prospect News Structured Products Daily.
New Issue: JPMorgan upsizes Alerian MLP index-linked ETNs to $904.24 million
By Susanna Moon
Chicago, July 13 - JPMorgan Chase & Co. priced another $142.77 million of exchange-traded notes due May 24, 2024 linked to the volume-weighted average price level of the Alerian MLP index, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total deal size to $904.24 million.
The company previously priced $142.77 million of the notes on April 19, $75 million on April 1, 2009, $75 million on June 5, 2009, $85 million on Aug. 13, 2009, $98.14 million on Sept. 24, 2009, $142.77 million on Dec. 9 and $142.77 million on Feb. 19.
The index measures the composite performance of energy-oriented master limited partnerships.
Each note has a face value of $19.03661, which is equal to the initial VWAP level of the index divided by 10.
On each quarterly coupon payment date, the notes will pay an amount in cash equal to the distributions that holders would be entitled to receive on the record date for any index component less the accrued tracking fee. The tracking fee is an amount per note equal to the product of 0.2125% (equivalent to 0.85% per year) multiplied by the current indicative value on the previous day. On each day, the current indicative value equals the index's VWAP level on that date divided by the initial VWAP level.
If the index payout is less than the tracking fee on any coupon date, no coupon will be paid on that date, and an amount equal to the difference between the tracking fee and the index payout will be included in the tracking fee for the next coupon. This process will be repeated until the index payout for a coupon valuation date is greater than the tracking fee.
The payout at maturity will be par plus the index return plus the final coupon amount minus the tracking fee.
The notes are putable on the last business day of each week, subject to a 0.125% fee. The redemption amount will be calculated in the same way as the payout at maturity.
The notes are listed on the NYSE Arca under the symbol "AMJ."
J.P. Morgan Securities Inc. is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Exchange-traded notes
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Underlying index: | Alerian MLP
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Amount: | $904,238,975, increased from $74,999,998
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Maturity: | May 24, 2024
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Coupon: | An amount equal to the difference between the payouts on the index and the accrued tracking fee; payable quarterly
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Price: | Par of $19.03661
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Payout at maturity | Par plus the index return plus the final coupon amount minus the tracking fee
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Put option: | On last business day of each week, subject to 0.125% fee; payout calculated in same way as at maturity
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Initial VWAP level: | 190.36605
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Pricing dates: | April 1, 2009 for $74,999,998; June 5, 2009 for $74,999,998; Aug. 13, 2009 for $84,999,987; Sept. 24, 2009 for $98,140,692; Dec. 9 for $142,774,575; Feb. 19 for $142,774,575; April 19 for $142,774,575; July 12 for $142,774,575
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Settlement dates: | April 6, 2009 for original issue; June 10, 2009 for add-on; Aug. 18, 2009 for second add-on; Sept. 29, 2009 for third add-on; Dec. 14 for fourth add-on; Feb. 24 for fifth add-on; April 22 for sixth add-on; July 16 for seventh add-on
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Agent: | J.P. Morgan Securities Inc.
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Fees: | Agent will receive tracking fees
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Listing: | NYSE Arca: AMJ
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Cusip: | 46625H365
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