New Issue: JPMorgan prices $41.74 million market participation notes linked to S&P GSCI Crude Oil

By Angela McDaniels

Tacoma, Wash., Aug. 3 - JPMorgan Chase & Co. priced $41.74 million of 0% market participation quarterly review notes due Aug. 11, 2011 linked to the S&P GSCI Crude Oil Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a call premium if the index closes at or above the initial index level on Nov. 1, Jan. 31, May 2, 2011 or Aug. 8, 2011.

The call premium will be the greater of the index return on the applicable review date and a contingent minimum return, subject to a maximum return.

The contingent minimum return is 2% for the first call date, 4% for the second call date, 6% for the third call date and 8% for the fourth call date.

The maximum return is 4.5% for the first call date, 9% for the second call date, 13.5% for the third call date and 18% for the fourth call date.

If the notes are not called and the final index level is at least 85% of the initial level, the payout at maturity will be par. If the final level is less than 85% of the initial level, the payout will be par plus the index return.

J.P. Morgan Securities Inc. is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Market participation quarterly review notes
Underlying index:	S&P GSCI Crude Oil Index Excess Return
Amount:	$41,739,000
Maturity:	Aug. 11, 2011
Coupon:	0%
Price:	Par
Payout at maturity:	If final index level is at least 85% of initial level, par; otherwise, par plus index return
Call:	Automatically at par plus call premium if index closes at or above initial index level on Nov. 1, Jan. 31, May 2, 2011 or Aug. 8, 2011; call premium is equal to index return, subject to applicable minimum contingent return and maximum return
Minimum contingent return:	2%, 4%, 6% and 8% for first, second, third and fourth call dates, respectively
Maximum return:	4.5%, 9%, 13.5% and 18% for first, second, third and fourth call dates, respectively
Initial index level:	498.6033
Pricing date:	July 30
Settlement date:	Aug. 4
Agent:	J.P. Morgan Securities Inc.
Fees:	1%
Cusip:	48124AXQ5

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.