New Issue: JPMorgan prices $2.9 million quarterly review notes linked to S&P 500

By Toni Weeks

San Diego, May 15 - JPMorgan Chase & Co. priced $2.9 million of 0% quarterly review notes due May 30, 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 10.7% call premium if the index closes at or above the initial index level on any quarterly review date.

If the notes are not called, the payout at maturity will be par if the final index level is at least 90% of the initial index value. Otherwise, investors will lose 1.1111% for every 1% that the index declines beyond the 10% buffer.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Quarterly review notes
Underlying index:	S&P 500
Amount:	$2,896,000
Maturity:	May 30, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	Par if final index level is at least 90% of initial level; 1.1111% loss per 1% drop beyond 10% buffer
Call:	At par plus annualized call premium of 10.7% if index closes at or above initial level on Aug. 23, Nov. 20, 2012, Feb. 21, 2013 and May 24, 2013
Initial level:	1,353.39
Pricing date:	May 11
Settlement date:	May 16
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48125VYB0

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