JPMorgan to price 0% semiannual review notes on Market Vectors Gold

By Jennifer Chiou

New York, April 1 - JPMorgan Chase & Co. plans to price 0% semiannual review notes due Oct. 31, 2011 linked to the Market Vectors Gold Miners ETF, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the fund is at or above its initial price on any of three semiannual review dates.

The redemption amount will be par plus at least 8.5% if the notes are called on Oct. 27, 2010, par plus at least 17% if called on April 27, 2011 and 25.5% if called on Oct. 26, 2011. The exact call premiums will be set at pricing.

If the notes are not called, investors will receive par if the fund price falls by up to the contingent buffer amount of 25% and will lose 1% for every 1% drop from the initial value if the price falls by more than 25%.

The notes are expected to price on April 27 and settle on April 30.

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

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