New Issue: JPMorgan prices $16.64 million of review notes linked to S&P 500 index

By Toni Weeks

San Diego, Jan. 31 - JPMorgan Chase & Co. priced $16.64 million of 0% review notes due Feb. 13, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized 11.5% premium if the index closes at or above the initial level on any of the quarterly review dates.

If the notes are not called, investors will receive par for losses of up to 10% and will lose 1.1111% for every 1% drop in the index beyond the 10% buffer.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Review notes
Underlying index:	S&P 500
Amount:	$16,638,000
Maturity:	Feb. 13, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	Par for losses up to 10%; investors exposed to losses beyond 10% buffer at a rate of 1.1111% per 1% drop
Call:	At par plus annualized call premium of 11.5% if index closes at or above initial level on May 8, Aug. 8, 2012, Nov. 8, 2012 and Feb. 8, 2013
Initial level:	1,316.33
Pricing date:	Jan. 27
Settlement date:	Feb. 1
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48125VKV1

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