New Issue: JPMorgan prices $621,000 18.15% callable yield notes on Russell 2000, Gold Miners

By Susanna Moon

Chicago, Sept. 29 - JPMorgan Chase & Co. priced $621,000 of 18.15% callable yield notes due Sept. 28, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly.

The notes are callable at par on Dec. 31, March 31, 2012 and June 30, 2012.

The payout at maturity will be par unless either component falls below its knock-in level - 60% of its initial level - during the life of the notes and the final level of either component is less than its starting level, in which case investors will receive par plus the return of the worst-performing component.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Callable yield notes
Underlying components:	Russell 2000 index and Market Vectors Gold Miners exchange-traded fund
Amount:	$621,000
Maturity:	Sept. 28, 2012
Coupon:	18.15%, payable monthly
Price:	Par
Payout at maturity:	Par unless either component falls by more than its protection amount during life of notes and either finishes below initial level, in which case par plus return of worst-performing underlying component
Call option:	At par on Dec. 31, March 31, 2012 and June 30, 2012
Initial level:	680.23 for Russell and $57.07 for gold fund
Protection amounts:	272.092 for Russell and $22.828 for gold fund; 40% of initial levels
Pricing date:	Sept. 27
Settlement date:	Sept. 30
Agent:	J.P. Morgan Securities LLC
Fees:	3%
Cusip:	48125XW28

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