JPMorgan plans 0% semiannual review notes linked to gold

By Susanna Moon

Chicago, March 27 - JPMorgan Chase & Co. plans to price 0% semiannual review notes due April 7, 2011 linked to the price of gold, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if gold is at least 90% of its initial price on the first review date and equal to its initial price on the second, third and final review dates.

The redemption amount will be par plus at least 6.05% if the notes are called on Oct. 2, 2009, par plus at least 12.1% if called on April 2, 2010, par plus at least 18.15% if called on Oct. 4, 2010 and par plus at least 24.2% if called on April 4, 2011. The exact call premiums will be set at pricing.

If the notes are not called, investors will receive par if the price of gold falls by up to 15% and will lose 1% for every 1% decline beyond 15%.

The notes are expected to price on April 2 and settle on April 7.

J.P. Morgan Securities Inc. is the agent.

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