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

By Marisa Wong

Madison, Wis., Sept. 5 - JPMorgan Chase & Co. plans to price 0% index knock-out notes due March 12, 2014 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 greater of the index return and a contingent minimum return of at least 10.05% that will be set at pricing. If a knock-out event has occurred, the payout will be par plus the index return, which could be positive or negative.

The notes (Cusip: 48125V5W6) are expected to price on Sept. 7 and settle on Sept. 12.

J.P. Morgan Securities LLC is the agent.

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