New Issue: JPMorgan sells $2.45 million capped market plus notes on Brent Crude

By Marisa Wong

Madison, Wis., June 30 - JPMorgan Chase & Co. priced $2.45 million of 0% capped market plus notes due July 17, 2012 linked to a Brent Crude oil futures contract, according to a 424B2 filing with the Securities and Exchange Commission.

If the contract price falls below 70% of the initial price on any day during the life of the notes, the payout at maturity will be par plus the commodity return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the commodity return and a contingent minimum return of 7.5%. In either case, the payout is subject to a maximum return of 15%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped market plus notes
Underlying commodity:	Brent Crude oil futures contract
Amount:	$2.45 million
Maturity:	July 17, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If contract price falls below 70% of initial price, par plus return, with exposure to losses; otherwise, par plus greater of return and 7.5%; in both cases, return capped at 15%
Initial price:	$108.78
Pricing date:	June 28
Settlement date:	July 1
Agent:	J.P. Morgan Securities LLC
Fees:	1.45%
Cusip:	48125XWC6

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