JPMorgan to price capped knock-out notes linked to Euro Stoxx 50

By Angela McDaniels

Tacoma, Wash., Oct. 10 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Oct. 30, 2013 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index's closing level is less than the initial index level by more than 30% on any day during the life of the notes.

If a knock-out event has not occurred, the payout at maturity will be par plus the contingent digital return. If a knock-out event has occurred, the payout will be par plus the index return, which could be positive or negative, subject to a maximum return.

The contingent digital return and the maximum return are both expected to be at least 8.9% and will be set at pricing.

The notes are expected to price Oct. 12 and settle Oct. 17. The initial index level will be the index's closing level on Oct. 11, one day prior to pricing.

J.P. Morgan Securities LLC is the agent.

The Cusip number is 48126DDU0.

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