By Jennifer Chiou
New York, Nov. 23 - JPMorgan Chase & Co. priced $5.78 million of 0% quarterly review notes due Dec. 2, 2011 linked to the S&P GSCI Crude Oil index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called if the average of the index's closing levels for the five days ending on a quarterly review date is 102.5% or more of the initial index level. The redemption amount will be par plus an annualized call premium of 16.25%.
The review dates are Feb. 22, 2011, May 23, 2011, Aug. 22, 2011 and Nov. 29, 2011.
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 level. Investors will lose 1.11111% for every 1% that the index declines beyond 10%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Quarterly review notes
|
| Underlying index: | S&P GSCI Crude Oil index
|
| Amount: | $5,776,000
|
| Maturity: | Dec. 2, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par if final index level is at least 90% of initial level; 1.11111% loss for every 1% that index declines beyond 10%
|
| Call: | Automatically at par plus annualized call premium of 16.25% if average index closing level for the five days ending on Feb. 22, 2011, May 23, 2011, Aug. 22, 2011 or Nov. 29, 2011 is 102.5% or more of initial index level
|
| Initial index level: | 497.3964
|
| Pricing date: | Nov. 19
|
| Settlement date: | Nov. 24
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 48124A3A3
|
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