JP Morgan has launched its Equity Index Linked Annual Review Fund II. This fund, structured as a European cross-border UCITS III fund, is a six-year auto-callable investment which offers investors a potential annual return of 17.25 per cent via exposure to the FTSE 100 index.

The investment is auto-callable on an annual basis providing the FTSE 100 Index closes at or above the closing level on the FTSE 100 Index set on 24 October 2008. If the level of the FTSE 100 Index is at or above 100 per cent of its initial level on the annual review date, the investment is auto-called and investors get back their initial capital plus a return equivalent to 17.25 per cent per annum. Soft capital protection exists down to 50 per cent of the FTSE 100 initial level.

If at the maturity date of the annual review terms the investment has not auto-called, and the FTSE 100 index is not equal to or higher than 100 per cent of the initial level but has never traded at or below 50 per cent of its initial level, investors receive their capital back in full.

If at the end of the investment on the maturity date of annual review terms, the investment has not auto-called and at any point during its life, the FTSE 100 Index closes at or below 50 per cent of its initial level, the investor loses the right to all potential returns and will be directly exposed to the index so that the return will be reduced by 1 per cent for every 1 per cent fall in the index between its initial level and the level observed at the final annual review date.