New Issue: JPMorgan prices $800,000 capped index knock-out notes on S&P 500

By Jennifer Chiou

New York, Sept. 27 - JPMorgan Chase & Co. priced $800,000 of 0% capped index knock-out notes due March 28, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event occurs if the index falls by more 30% at any time during the life of the notes.

If a knock-out event occurs, the payout at maturity will be par plus the index return, subject to a maximum return of 18%, with exposure to any losses.

If a knock-out event has not occurred, the payout will be par plus the greater of the contingent minimum return of 15% and the maximum return of 18%.

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

Issuer:	JPMorgan Chase & Co.
Issue:	Capped index knock-out notes
Underlying index:	S&P 500
Amount:	$800,000
Maturity:	March 28, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If index never falls by more than 30% during life of notes, par plus the greater of the contingent minimum return of 15% and 18%; otherwise, par plus index return, with exposure to losses, capped 18%
Initial index level:	1,124.83
Pricing date:	Sept. 23
Settlement date:	Sept. 28
Agent:	J.P. Morgan Securities Inc.
Fees:	1.25%, including 0.1% for selling concessions
Cusip:	48124AK22

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