New Issue: JPMorgan prices $3.18 million 15.65% callable yield notes linked to Russell 2000, Brazil ETF

By Angela McDaniels

Tacoma, Wash., Aug. 24 - JPMorgan Chase & Co. priced $3.18 million of 15.65% callable yield notes due Aug. 23, 2012 linked to the Russell 2000 index and the iShares MSCI Brazil index fund, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly.

The payout at maturity will be par unless either underlying component declines by more than 40% during the life of the notes and either finishes below its initial level, in which case investors will receive par plus the return of the worst-performing underlying component.

The notes are callable at par on Nov. 26, Feb. 26, 2012 and May 26, 2012.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Callable yield notes
Underlying components:	Russell 2000 and iShares MSCI Brazil index fund
Amount:	$3,177,000
Maturity:	Aug. 23, 2012
Coupon:	15.65%, payable monthly
Price:	Par
Payout at maturity:	Par unless either underlying component declines from its initial level by more than its protection amount during life of notes and either finishes below its initial level, in which case par plus return of worst-performing underlying component
Call option:	At par on Nov. 26, Feb. 26, 2012 and May 26, 2012
Initial levels:	651.70 for index and $60.16 for ETF
Protection amounts:	260.68 for Russell and $26.064 for ETF; 40% of initial levels
Pricing date:	Aug. 19
Settlement date:	Aug. 24
Agent:	J.P. Morgan Securities LLC
Fees:	2.3%, including 0.4% for selling concessions
Cusip:	48125XN85

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