JPMorgan plans to price capped index knock-out notes tied to S&P 500

By Marisa Wong

Madison, Wis., July 7 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Aug. 5, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index falls by more 25% during the life of the notes.

If a knock-out event occurs, the payout at maturity will be par plus the index return, with exposure to any losses.

If a knock-out event has not occurred, the payout will be par plus the greater of the index return and a contingent minimum return of at least 12.06%. The exact contingent minimum return will be set at pricing.

In either case, the payout is subject to a maximum return of at least 20% that will be set at pricing.

The notes are expected to price July 9 and settle July 14.

J.P. Morgan Securities Inc. is the agent.

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