New Issue: JPMorgan prices $1.12 million 10% airbag notes linked to Abercrombie

By Angela McDaniels

Tacoma, Wash., Jan. 24 - JPMorgan Chase & Co. priced $1.12 million of 10% annualized airbag yield optimization notes due July 26, 2012 linked to the class A common stock of Abercrombie & Fitch Co., according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly.

The payout at maturity will be par unless the final share price is less than the conversion price, in which case the payout will be a number of Abercrombie & Fitch shares equal to $1,000 divided by the conversion price. The conversion price is 80% of the initial share price.

UBS Financial Services Inc. and J.P. Morgan Securities LLC are the underwriters.

Issuer:	JPMorgan Chase & Co.
Issue:	Airbag yield optimization notes
Underlying stock:	Abercrombie & Fitch Co. class A common stock (NYSE: ANF)
Amount:	$1,115,000
Maturity:	July 26, 2012
Coupon:	10%, payable monthly
Price:	Par
Payout at maturity:	If final share price is less than conversion price, number of Abercrombie & Fitch shares equal to share delivery amount; otherwise, par
Share delivery amount:	28.082, equal to $1,000 divided by conversion price
Initial share price:	$44.51
Conversion price:	$35.61, 80% of initial share price
Pricing date:	Jan. 20
Settlement date:	Jan. 25
Underwriters:	UBS Financial Services Inc. and J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48126B541

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