JPMorgan plans to price capped market plus notes linked to gold

By Toni Weeks

San Diego, March 14 - JPMorgan Chase & Co. plans to price 0% capped market plus notes due March 29, 2012 linked to the spot price of gold, according to an FWP with the Securities and Exchange Commission.

If the price of gold is less than or equal to the strike price, expected to be 83% of the initial price, during the life of the notes, the payout at maturity will be par plus the gold return, subject to a maximum return of at least 10%.

Otherwise, investors will receive par plus the greater of the gold return and a contingent minimum return that is expected to be 5%, subject to the maximum return. The exact terms will be set at pricing.

The notes (Cusip: 48125XJU1) will price on March 18 and settle on March 23.

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

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