By Marisa Wong
Milwaukee, Feb. 9 - JPMorgan Chase & Co. priced $4.636 million of 0% quarterly review notes due Feb. 17, 2011 based on the price of copper, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called if the average price of copper over the five trading days ending on any of the four quarterly review dates is at or above the initial price.
The redemption amount will be par plus a call premium of 5.5% if the notes are called on May 14, 11% if called on Aug. 16, 2010, 16.5% if called on Nov. 15, 2010 and 22% if called on Feb. 14, 2011.
If the notes are not called, the payout at maturity will be par if the price of copper falls by 15% or less. Otherwise, investors will lose 1% for every 1% that the price of copper declines.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Quarterly review notes
|
| Underlying commodity: | Copper
|
| Amount: | $4.636 million
|
| Maturity: | Feb. 17, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par if final price of copper is at least 85% of starting price; otherwise, full exposure to the decline
|
| Call: | If average price of copper is at or above initial price; at par plus call premium of 5.5% if the notes are called on May 14, 11% if called on Aug. 16, 2010, 16.5% if called on Nov. 15, 2010 and 22% if called on Feb. 14, 2011
|
| Initial price: | $6,329
|
| Pricing date: | Feb. 5
|
| Settlement date: | Feb. 10
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 48124AGS0
|
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