New Issue: JPMorgan prices $2.78 million daily observation knock-out notes linked to Vodafone

By Angela McDaniels

Tacoma, Wash., July 19 - JPMorgan Chase & Co. priced $2.78 million of 0% capped daily observation knock-out notes due Aug. 1, 2012 linked to the American Depositary Shares of Vodafone Group plc, according to a 424B2 filing with the Securities and Exchange Commission.

If the closing price of Vodafone ADSs falls by more than 20% during the life of the notes, the payout at maturity will be par plus the ADS return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the ADS return and 10.05%.

In each case, the return will be capped at 20%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped daily observation knock-out notes
Underlying ADSs:	Vodafone Group plc (Nasdaq: VOD)
Amount:	$2,775,000
Maturity:	Aug. 1, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If Vodafone ADSs fall by more than 20% during life of notes, par plus ADS return; otherwise, par plus greater of ADS return and 10.05%; in either case, return capped at 20%
Initial ADS price:	$25.77
Pricing date:	July 15
Settlement date:	July 20
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48125XYS9

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