New Issue: JPMorgan Chase prices $2 million capped market plus notes tied to gold

By Toni Weeks

San Diego, Sept. 26 - JPMorgan Chase & Co. priced $2 million of 0% single observation capped market plus notes due Oct. 4, 2012 linked to the gold spot price, according to a 424B2 filing with the Securities and Exchange Commission.

If the price of gold finishes below 85% of the strike value on the Oct. 1, 2012 observation date, the payout at maturity will be par plus the gold return. Otherwise, the payout will be par plus the gold return, with a floor of zero. The payout is subject to a maximum return of 26.5%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Single observation capped market plus notes
Underlying commodity:	Gold
Amount:	$2 million
Maturity:	Oct. 4, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If price of gold finishes below 85% of strike value on Oct. 1, 2012, par plus gold return; otherwise, par plus gold return with floor of zero; return capped at 26.5%
Strike value:	$1,735.50
Pricing date:	Sept. 22
Settlement date:	Sept. 27
Agents:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48125X5C6

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