New Issue: JPMorgan prices $2.78 million 10.3% autocallable yield notes on S&P 500, Russell 2000

By Jennifer Chiou

New York, Sept. 19 - JPMorgan Chase & Co. priced $2.78 million of 10.3% autocallable yield notes due Sept. 24, 2012 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable quarterly.

The notes will be automatically called if the indexes close above their initial levels on any of the quarterly call dates.

The payout at maturity will be par unless either index falls to or below its knock-in level - 50% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worst-performing index, up to a maximum payout of par.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable yield notes
Underlying indexes:	S&P 500, Russell 2000
Amount:	$2.78 million
Maturity:	Sept. 24, 2012
Coupon:	10.3%, payable quarterly
Price:	Par
Payout at maturity:	Par unless either index falls to or below 50% of its initial level during life of notes, in which case par plus return of worst-performing index, maximum of par
Initial levels:	1,209.11 for S&P 500, 713.51 for Russell
Protection amounts:	604.555 for S&P 500, 356.755 for Russell; 50% of initial levels
Call:	Automatically if the indexes close above their initial levels on any of the quarterly call dates
Pricing date:	Sept. 15
Settlement date:	Sept. 22
Agent:	J.P. Morgan Securities LLC
Fees:	2.533%, including 1% for selling concessions
Cusip:	48125X2H8

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