JPMorgan plans single observation market plus notes linked to copper

By Angela McDaniels

Tacoma, Wash., May 2 - JPMorgan Chase & Co. plans to price 0% single observation capped market plus notes due May 18, 2012 linked to the spot price of grade A copper, according to an FWP filing with the Securities and Exchange Commission.

If the final spot price of copper is less than or equal to the knock-out buffer, the payout at maturity will be par plus the copper return. Otherwise, the payout will be par plus the copper return, subject to a minimum return of at least 8% and a maximum return of at least 10.75%.

The knock-out buffer is expected to be 87% or less of the strike value. The strike value will be set by the calculation agent and may or may not be equal to the price of copper on the pricing date.

The exact terms will be set at pricing.

The notes (Cusip: 48125XPU4) will price May 6 and settle May 11.

J.P. Morgan Securities LLC is the agent.

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