JPMorgan plans single observation capped market plus notes on gold

By Jennifer Chiou

New York, Aug. 30 - JPMorgan Chase & Co. plans to price 0% single observation capped market plus notes due Sept. 13, 2012 linked to the spot price of gold, according to an FWP with the Securities and Exchange Commission.

If the final price of gold falls relative to the strike value by 20% or more, the payout at maturity will be par plus the gold return.

Otherwise, investors will receive par plus the greater of the gold return and a contingent minimum return that is expected to be zero.

In either case, returns are subject to the 16.5% maximum. The exact terms will be set at pricing.

The notes (Cusip: 48125XW85) will price on Sept. 2 and settle on Sept. 8.

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

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