By Jennifer Chiou
New York, May 19 - JPMorgan Chase & Co. priced $10 million of 0% daily liquidity notes due May 22, 2014 linked to the S&P GSCI Copper Index Total Return, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be the indicative note value on May 19, 2014.
The indicative value of each note will be $1,000 on the pricing date. On each subsequent trading day, it will equal the indicative note value on the preceding day multiplied by the index factor and minus the investor fee.
The index factor equals the index closing level on that day divided by the index closing level on the preceding day.
On any trading day, the investor fee equals 0.5% of the indicative note value on the preceding day multiplied by the quotient of the number of calendar days from the preceding trading day to the current trading day divided by 360.
The notes are putable at any time. They are callable on a daily basis beginning on May 20, 2012.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co
|
| Issue: | Daily liquidity notes
|
| Amount: | $10 million
|
| Maturity: | May 22, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Indicative note value on May 19, 2014; indicative value of each note equal to $1,000 at pricing date; then equal to the indicative note value on the preceding day multiplied by the index factor, minus the 0.5% investor fee, on each subsequent trading day
|
| Call option: | Starting May 20, 2012 on daily basis
|
| Initial level: | 5,321.508
|
| Pricing date: | May 17
|
| Settlement date: | May 20
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48125XRA6
|
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