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JPMorgan plans 0% semiannual review notes linked to S&P 500
By E. Janene Geiss
Philadelphia, Jan. 21 - JPMorgan Chase & Co. plans to price 0% semiannual review notes due Feb. 7, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the index is at or above its initial level on any of three semiannual review dates.
On the first review date, the call level will be 90% of the initial level. On the second and third review dates, the call level will be equal to the initial level.
The redemption amount will be par plus 16.7% if the notes are called on Feb. 2, 2010, par plus 25.05% if called on Aug. 2, 2010 and par plus 33.4% if called on Feb. 2, 2011. The exact call premiums will be set at pricing.
If the notes are not called, investors will receive par if the index falls by up to 10% and will lose 1.1111% for every 1% decline in the index beyond 10%.
The notes are expected to price Jan. 23 and settle Jan. 28.
J.P. Morgan Securities Inc. is the agent.
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