JPMorgan to price 12%-15% callable yield notes linked to S&P 500, Market Vectors Gold Miners ETF

By Jennifer Chiou

New York, July 1 - JPMorgan Chase & Co. plans to price 12% to 15% annualized callable yield notes due Jan. 31, 2011 linked to the S&P 500 index and the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable monthly.

A trigger event occurs if either underlying component falls to or below 70% of its initial level on any trading day during the life of the notes.

If a trigger event occurs, the payout at maturity will be par plus the return of the worse performing underlying component, capped at a maximum payout of par.

If a trigger event does not occur, investors will receive par.

The notes will be callable in whole at par on the Nov. 1, 2010 optional call date.

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

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

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