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

By Angela McDaniels

Tacoma, Wash., Nov. 29 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Dec. 19, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index's closing level is less than the initial index level by more than 20% on any day during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the index return and the contingent minimum return, which is expected to be at least 17.5%.

In each case, the payout will be subject to a maximum return of at least 20%.

The exact maximum return and contingent minimum return will be set at pricing

The notes (Cusip: 48125VDV9) are expected to price Dec. 2 and settle Dec. 7.

J.P. Morgan Securities LLC is the agent.

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