By Jennifer Chiou
New York, March 22 - JPMorgan Chase & Co. priced $1.02 million of 0% quarterly review notes due March 29, 2012 linked to the S&P GSCI Crude Oil index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called if the index's closing level on any review date is at least 95% of the strike value. The redemption amount will be par plus an annualized call premium of 18.1%.
The review dates are June 20, Sept. 19, 2011, Dec. 19, 2011 and March 26, 2012.
The strike value is 792.8127.
If the notes are not called, the payout at maturity will be par unless the index declines by more than 25% during the life of the notes, in which case investors will lose 1% for every 1% that the final index level is less than the strike value.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Quarterly review notes
|
| Underlying index: | S&P GSCI Crude Oil
|
| Amount: | $1.02 million
|
| Maturity: | March 29, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless index declines by more than 25% during the life of the notes, in which case investors will lose 1% for every 1% that the final index level is less than the strike value
|
| Call: | Automatically at par plus annualized call premium of 18.1% if index's closing level on any review date is at least 95% of the strike value; review dates are June 20, Sept. 19, 2011, Dec. 19, 2011 and March 26, 2012
|
| Strike level: | 792.8127
|
| Pricing date: | March 18
|
| Settlement date: | March 23
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48125XJT4
|
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