By Susanna Moon
Chicago, Feb. 3 - JPMorgan Chase & Co. priced $91,000 of 0% semiannual review notes due Feb. 16, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the index is above its call level on any of three review dates. The call level is 90% of the initial level on the first review date and 100% of the initial level on the next two review dates.
The redemption amount will be par plus 15.85% if the notes are called on Feb. 12, 2010, par plus 23.775% if called on Aug. 12, 2010 and par plus 31.7% if called on Feb. 11, 2011.
If the notes are not called, investors will receive par at maturity unless the index declines by more than 10%. Investors will lose 1.1111% for every 1% drop beyond 10%.
J.P. Morgan Securities Inc. is agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Semiannual review notes
|
| Underlying index: | S&P 500 index
|
| Amount: | $91,000
|
| Maturity: | Feb. 16, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless the index falls by more than 10%; loss of 1.1111% for every 1% decline beyond 10%
|
| Call: | At par plus 15.85% if called Feb. 12, 2010, par plus 23.775% if called Aug. 12, 2010 and par plus 31.7% if called on Feb. 11, 2011; notes will be called if the index is more than 90% of initial level on first review date or more than 100% of initial level on second or final review dates
|
| Initial level: | 825.88
|
| Pricing date: | Jan. 30
|
| Settlement date: | Feb. 4
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 2.25%, including 1.125% for selling concessions
|
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