JPMorgan has launched two tranches of reverse convertible notes using an exotic variation on the maturity payout structure.
The first tranche of notes priced on 11 March for $25m. JPMorgan then reopened the product for a second tranche on 28 March, selling an additional $2.05m.
The one-year notes are linked to the common stock of American International Group and offer a fixed coupon of 7% per annum, paid monthly throughout the investment.
At maturity, if the closing level of the underlying share is at or above 114.95% of its initial level, the product offers a capital return of 100% plus 65% in any rise in the underlying in excess of 114.95%. If the final share level is between 110.25% and 114.95% of its initial level, the products returns 100% of capital invested. Otherwise, capital return equals 90.7% of the final share, subject to a minimum return of 77%, paid in cash or shares.
Before the close of March, JPMorgan launched a second product with the same payoff structure linked to the common stock of EMC Corporation, offering a fixed coupon of 7.50% per annum. These notes, which priced on 27 March, sold a total of $26.5m.
A spokesperson from JPMorgan declined to comment.