New Issue: JPMorgan prices $142,000 capped index knock-out notes on S&P 500

By Jennifer Chiou

New York, June 29 - JPMorgan Chase & Co. priced of $142,000 of 0% capped index knock-out notes due June 28, 2013 linked to the S&P 500 index, according to a 424B2 with the Securities and Exchange Commission.

A knock-out event occurs if the index falls by more than 20% 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 10%.

In either case, the payout is subject to a maximum return of 17%.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped index knock-out notes
Underlying index:	S&P 500
Amount:	$142,000
Maturity:	June 28, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	If index falls by more than 20% during life of notes, par plus index return with exposure to losses; otherwise, par plus 10%; return capped at 17% in both cases
Initial index level:	1,280.10
Pricing date:	June 27
Settlement date:	June 30
Agent:	J.P. Morgan Securities LLC
Fees:	5.93%, including 2.15% for selling concessions
Cusip:	48125XTM8

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