By Jennifer Chiou
New York, Aug. 25 - JPMorgan Chase & Co. priced $11.15 million of 0% review notes due March 15, 2012 linked to the S&P GSCI Brent Crude Oil Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus an 8.25% premium if the index closes at or above the initial index level on any day from and including Nov. 23 to March 12, 2012.
If the notes are not called, the payout at maturity will be par if the final index level is at least 80% of the initial level. Otherwise, investors will lose 1% for every 1% that the index declines from the initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Review notes
|
| Underlying index: | S&P GSCI Brent Crude Oil Index Excess Return
|
| Amount: | $11.15 million
|
| Maturity: | March 15, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless index falls by more than 20%, in which case investors will lose 1% for every 1% drop below initial level
|
| Call: | At par plus annualized call premium of 8.25% if index closes at or above strike level on any day from and including Nov. 23 to March 12, 2012
|
| Strike level: | 767.4809
|
| Pricing date: | Aug. 23
|
| Settlement date: | Aug. 26
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 0.25%
|
| Cusip: | 48125XR57
|
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