New Issue: JPMorgan prices $530,000 autocallable return enhanced notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Nov. 28 - JPMorgan Chase & Co. priced $530,000 of 0% autocallable return enhanced notes due Dec. 10, 2012 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

The notes will be automatically called at par plus 10.8% if the index closes at or above 103.6% of the initial level on Feb. 23, 2012, May 23, 2012 or Aug. 23, 2012.

If the notes are not called and the final index level is greater than the initial index level, the payout at maturity will be par plus three times the index return, subject to a maximum return of at least 10.8%. Investors will be fully exposed to the decline if the final index level is less than the initial level.

J.P. Morgan Securities LLC is be the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable return enhanced notes
Underlying index:	S&P 500
Amount:	$530,000
Maturity:	Dec. 10, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus three times any index gain, up to maximum return of 10.8%; full exposure to any index decline
Call:	Automatically at par plus 10.8% if index closes at or above 103.6% of initial index level on Feb. 23, 2012, May 23, 2012 or Aug. 23, 2012
Initial index level:	1,161.79
Pricing date:	Nov. 23
Settlement date:	Nov. 30
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48125VDK3

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