New Issue: JPMorgan prices $2.46 million 10% callable yield notes linked to S&P 500, Russell

By Toni Weeks

San Diego, Aug. 30 - JPMorgan Chase & Co. priced $2.46 million of 10% callable yield notes due Aug. 31, 2012 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly.

The notes are callable at par on Nov. 30, 2011, Feb. 29, 2012 and May 31, 2012.

The payout at maturity will be par unless either index falls to or below its knock-in level - 60% of its initial level - during the life of the notes and finishes below the initial level, in which case investors will receive par plus the return of the worst-performing index.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Callable yield notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$2.46 million
Maturity:	Aug. 31, 2012
Coupon:	10%, payable monthly
Price:	Par
Payout at maturity:	Par, unless either index falls to or below 60% of its initial level during life of notes and finishes below the initial level, in which case par plus return of worst-performing index
Initial levels:	1,176.8 for S&P 500, 691.79 for Russell
Protection amount:	470.72 for S&P 500, 276.716 for Russell; 40% of initial levels
Call option:	At par on Nov. 30, 2011, Feb. 29, 2012 and May 31, 2012
Pricing date:	Aug. 26
Settlement date:	Aug. 31
Agent:	J.P. Morgan Securities LLC
Fees:	2%
Cusip:	48125XM60

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