New Issue: JPMorgan prices $4.16 million capped knock-out notes linked to Freeport-McMoRan

By Angela McDaniels

Tacoma, Wash., Feb. 1 - JPMorgan Chase & Co. priced $4.16 million of 0% capped daily observation knock-out notes due Feb. 15, 2012 linked to the common stock of Freeport-McMoRan Copper & Gold Inc., according to a 424B2 filing with the Securities and Exchange Commission.

If the closing price of Freeport-McMoRan stock falls by more than 37.7% from the initial share price during the life of the notes, the payout at maturity will be par plus the stock return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the stock return and 10%.

In either case, the payout will be subject to a maximum return of 25%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped daily observation knock-out notes
Underlying stock:	Freeport-McMoRan Copper & Gold Inc. (NYSE: FCX)
Amount:	$4,159,000
Maturity:	Feb. 15, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If Freeport-McMoRan stock falls by more than 37.7% during life of notes, par plus stock return, whether positive or negative; otherwise, par plus greater of stock return and 10%; return capped at 25% in each case
Initial share price:	$106.17
Pricing date:	Jan. 28
Settlement date:	Feb. 2
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48125XCF1

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