By Susanna Moon
Chicago, May 19 - JPMorgan Chase & Co. priced $20 million of 0% daily liquidity notes due May 22, 2014 linked to the S&P GSCI Gold Index Total Return, according to a 424B2 with the Securities and Exchange Commission.
The payout at maturity will be the indicative value of the notes, which was par at pricing. On each subsequent trading day, it equals the indicative note value on the preceding day multiplied by the index factor and minus the investor fee. The indicative note value cannot be less than zero.
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 0.35% 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, subject to the investor fee, and are callable after one year.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Daily liquidity notes
|
| Underlying index: | S&P GSCI Gold Index Total Return
|
| Amount: | $20 million
|
| Maturity: | May 22, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Cash amount equal to indicative note value on May 19, 2014; on any day, indicative note value equals indicative note value on preceding day plus index return less investor fee
|
| Put option: | At any time, subject to fee
|
| Call option: | Beginning May 20, 2012
|
| Initial index level: | 818.2497
|
| Pricing date: | May 17
|
| Settlement date: | May 20
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48125XQZ2
|
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