JPMorgan plans to price capped market plus notes linked to gold

By Toni Weeks

San Diego, Oct. 11 - JPMorgan Chase & Co. plans to price 0% single observation capped market plus notes due Oct. 29, 2012 linked to the spot price of gold, according to an FWP filing with the Securities and Exchange Commission.

If the final price of gold on the observation date falls by at least 25% from the strike value, the payout at maturity will be par plus the gold return. The strike value will be set on the pricing date and may or may not be the same as the initial gold spot price.

Otherwise, investors will receive par plus the gold return, subject to a floor of zero and a maximum return of at least 25.75%.

The exact terms will be set at pricing.

The notes (Cusip: 48125VBT6) are expected to price Oct. 14 and settle Oct. 19.

J.P. Morgan Securities LLC will be the agent.

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