New Issue: JPMorgan sells $2.44 million 10.5% callable yield notes on S&P, Russell

By Marisa Wong

Madison, Wis., Oct. 20 - JPMorgan Chase & Co. priced $2.44 million of 10.5% annualized autocallable yield notes due April 23, 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 will be called at par if the indexes close above their initial levels on either of two call dates. The call dates are Dec. 16 and Feb. 15.

The payout at maturity will be par unless either index falls by more than 40% of its initial level on any day during the life of the notes and finishes below its initial level, in which case investors will receive par plus the return of the worse performing index.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable yield notes
Underlying indexes:	S&P 500, Russell 2000
Amount:	$2.44 million
Maturity:	April 23, 2012
Coupon:	10.5% per year, payable monthly
Price:	Par
Payout at maturity:	Par unless either index falls by more than protection amount during life of the notes and finishes below its initial level, in which case par plus return of worse performing index
Call:	At par if indexes close above initial levels on Dec. 16 or Feb. 15
Initial levels:	1,225.38 for S&P, 709.34 for Russell
Protection amounts:	490.152 for S&P, 283.736 for Russell; 40% of initial levels
Pricing date:	Oct. 18
Settlement date:	Oct. 21
Agent:	J.P. Morgan Securities LLC
Fees:	3.627%, including 2.25% for selling concessions
Cusip:	48125X4N3

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