New Issue: JPMorgan prices $500,000 16.15% reverse exchangeables on U.S. Oil fund

By Susanna Moon

Chicago, Sept. 1 - JPMorgan Chase & Co. priced $500,000 of 16.15% annualized reverse exchangeable notes due March 6, 2012 linked to United States Oil Fund, LP, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par in cash unless the fund dips below the protection price - 80% of the initial price - during the life of the notes and finishes below the initial price, in which case the payout will be a number of shares equal to $1,000 divided the initial share price.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Reverse exchangeable notes
Underlying fund:	United States Oil Fund, LP
Amount:	$500,000
Maturity:	March 6, 2012
Coupon:	16.15%, payable monthly
Price:	Par
Payout at maturity:	Par unless fund falls by more than protection amount, in which case 29.0360 fund shares
Initial level:	$34.44
Protection amount:	$6.888, or 20% of initial price
Pricing date:	Aug. 30
Settlement date:	Sept. 2
Agent:	J.P. Morgan Securities LLC
Fees:	2%, including 1.5% for selling concessions
Cusip:	48125XU53

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