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

By Jennifer Chiou

New York, April 4 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due June 10, 2012 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

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

If a knock-out event occurs, the payout at maturity will be par plus the index return, which could be positive or negative.

If a knock-out event does not occur, the payout will be par plus the greater of the index return and a contingent minimum return of at least 6%.

In either case, the payout is subject to a maximum return of at least 16%.

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

The notes (Cusip: 48125XLJ3) are expected to price on April 5 and settle on April 8.

J.P. Morgan Securities LLC is the agent.

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