New Issue: JPMorgan prices $2.91 million daily observation knock-out notes on Merck

By Jennifer Chiou

New York, March 22 - JPMorgan Chase & Co. priced $2.91 million of 0% daily observation knock-out notes due Sept. 24, 2012 linked to the common stock of Merck & Co., Inc., according to a 424B2 filing with the Securities and Exchange Commission.

If Merck stock closes below 75% of the initial share price on any day during the life of the notes, the payout at maturity will be par plus the stock return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the stock return and 9.6%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Daily observation knock-out notes
Underlying stock:	Merck & Co., Inc. (NYSE: MRK)
Amount:	$2,905,000
Maturity:	Sept. 24, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If Merck stock closes below 75% of initial share price on any day during life of notes, par plus stock return, with exposure to losses; otherwise, par plus greater of stock return and 9.6%
Initial share price:	$31.91
Pricing date:	March 18
Settlement date:	March 23
Agent:	J.P. Morgan Securities LLC
Fees:	1.25%
Cusip:	48125XJW7

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