JPMorgan to price capped market plus notes linked to Australian dollar

By Angela McDaniels

Tacoma, Wash., Aug. 10 - JPMorgan Chase & Co. plans to price 0% single observation capped market plus notes due Feb. 17, 2012 linked to the performance of the Australian dollar relative to the U.S. dollar, according to an FWP filing with the Securities and Exchange Commission.

The final spot rate will be the number of U.S. dollars per Australian dollar on Feb. 14, 2012.

A knock-out event will occur if the currency return is less than the knock-out buffer percentage, which will be at most negative 10%.

If a knock-out event has occurred, the payout at maturity will be par plus the currency return. Otherwise, the payout will be par plus the currency return, subject to a minimum return of at least 4% and a maximum return of at least 10%.

The exact terms will be set at pricing.

The notes (Cusip: 48125XJ56) are expected to price Aug. 12 and settle Aug. 17.

J.P. Morgan Securities LLC is the agent.

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