New Issue: JPMorgan sells $2.95 million semiannual review notes on S&P 500 index

By Susanna Moon

Chicago, June 2 - JPMorgan Chase & Co. priced $2.95 million of 0% semiannual review notes due June 4, 2012 based on the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called if the index closes at or above 90% of its initial level on any of three review dates.

Investors will receive par plus 10.5% if the notes are called on June 1, 2011, par plus 15.75% if they are called on Nov. 30, 2011 and par plus 21% if they are called on May 30, 2012.

If the notes are not called, the payout at maturity will be par minus 1% for every 1% that the index declines beyond 10%.

J.P. Morgan Securities Inc. is agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Semiannual review notes
Underlying index:	S&P 500
Amount:	$2,946,000
Maturity:	June 4, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	1% loss for each 1% index drops beyond 10%
Call:	If index closes at or above 90% of initial level on any review date; payout will be par plus 10.5% if the notes are called on June 1, 2011, par plus 15.75% if they are called on Nov. 30, 2011 and par plus 21% if they are called on May 30, 2012
Initial level:	1,089.41
Pricing date:	May 28
Settlement date:	June 3
Agent:	J.P. Morgan Securities Inc.
Fees:	0.885%
Cusip:	48124ASJ7

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