JPMorgan to price 18-month knock-out buffered return enhanced notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., May 4 - JPMorgan Chase & Co. plans to price 0% knock-out buffered return enhanced notes due Nov. 30, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event will occur if the index closes below 75% of its initial level on any day during the life of the notes.

If the final index level is greater than the initial index level, the payout at maturity will be par plus 1.5 times the index return, subject to a maximum return of 15% to 20% that will be set at pricing.

If the final index level is less than the initial index level and a knock-out event has not occurred, the payout will be par.

If the final index level is less than the initial index level and a knock-out event has occurred, the payout will be par plus the index return.

The notes (Cusip: 48125XPG5) are expected to price May 25 and settle May 31.

J.P. Morgan Securities LLC is the agent.

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