JPMorgan to price capped contingent buffered notes linked to gold

By Angela McDaniels

Tacoma, Wash., Oct. 2 - JPMorgan Chase & Co. plans to price 0% capped contingent buffered notes due Oct. 18, 2013 linked to gold, according to an FWP filing with the Securities and Exchange Commission.

The strike price will be set by the calculation agent on the pricing date and may or may not be the same as the price of gold on that date.

If the final gold price is greater than the strike price, the payout at maturity will be par plus the gold return, subject to a maximum return of at least 16.5% that will be set at pricing. If the final gold price is equal to the strike price or less than the strike price up to 15%, the payout will be par. If the final gold price is less than the strike price by more than 15%, investors will be fully exposed to the decline in the gold price from the strike price.

The notes are expected to price Oct. 5 and settle Oct. 11.

J.P. Morgan Securities LLC is the agent.

The Cusip number is 48125V5K2.

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