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

By Toni Weeks

San Diego, Dec. 13 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Jan. 7, 2013 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 than 20% from the initial level during the life of the notes.

If a knock-out event does not occur, the payout at maturity is par plus the greater of the index return and the contingent minimum return of at least 13.2%. The exact contingent minimum return will be set at pricing.

If a knock-out event occurs, the payout at maturity is par plus the index return.

In either case, the maximum return is 20%, or $1,200 per $1,000 of notes.

The notes (Cusip: 48125VFS4) are expected to price Dec. 16 and settle Dec. 21.

J.P. Morgan Securities LLC will act as agent.

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