By Jennifer Chiou
New York, Aug. 12 - JPMorgan Chase & Co. priced $5 million of 0% daily liquidity notes due Aug. 13, 2015 linked to the J.P. Morgan Contag Beta Brent Crude Oil Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The agent, J.P. Morgan Securities LLC, purchased all of the notes from the issuer at par on the inception date and sold $647,000 of the notes to investors at par. The remaining notes will be offered from time to time at the indicative note value as of the relevant valuation date.
The payout at maturity will be the indicative note value on Aug. 10, 2015.
The indicative value of each note was $1,000 on the inception date. On each subsequent trading day, it equals the indicative note value on the preceding trading day multiplied by the index factor and minus the investor fee.
The index factor equals the index closing level on that day divided by the index closing level on the preceding trading day.
On any trading day, the investor fee equals 0.85% of the indicative note value on the preceding trading day multiplied by the quotient of the number of calendar days from the preceding trading day to the current trading day divided by 360.
The notes are putable at any time subject. They are callable on a daily basis beginning Aug. 15, 2012.
The index component reflects a synthetic long exposure to the index as well as the return of synthetic exposure to three-month U.S. Treasury bills. The selection methodology selects the futures contract with the highest level of backwardation or, in the absence of backwardation, the least amount of contango.
Backwardation refers to the situation where the futures contracts for a commodity with a delivery month farther ahead in time have lower contract prices than futures contracts for the same commodity with a delivery month closer in time. Contango refers to the opposite situation.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Daily liquidity notes
|
| Underlying index: | J.P. Morgan Contag Beta Brent Crude Oil Total Return index
|
| Amount: | $5 million
|
| Maturity: | Aug. 13, 2015
|
| Coupon: | 0%
|
| Price: | Par for $647,000; variable prices for remainder
|
| Payout at maturity: | Amount equal to indicative note value on Aug. 10, 2015
|
| Indicative note value: | $1,000 on inception date; on any subsequent day, amount equal to indicative note value on preceding day plus index return and minus investor fee of 0.85% per year
|
| Put option: | At any time
|
| Call option: | Beginning on Aug. 15, 2012
|
| Initial index level: | 1,655.933
|
| Inception date: | Aug. 10
|
| Settlement date: | Aug. 15 for $647,000
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48125XJ80
|
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