JPMorgan to issue 0% semiannual review notes on Market Vectors Gold

By Jennifer Chiou

New York, March 1 - JPMorgan Chase & Co. plans to price 0% semiannual review notes due Sept. 30, 2011 linked to the Market Vectors Gold Miners ETF, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the fund is at or above its initial price on any of three semiannual review dates.

The redemption amount will be par plus at least 10% if the notes are called on Sept. 27, 2010, par plus at least 20% if called on March 28, 2011 and 30% if called on Sept. 27, 2011. The exact call premiums will be set at pricing.

If the notes are not called, investors will receive par if the fund price falls by up to the contingent buffer amount of 30% and will lose 1% for every 1% drop from the initial value if the price falls by more than 30%.

The notes are expected to price on March 26 and settle on March 31.

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

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