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

By Marisa Wong

Madison, Wis., May 14 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due June 4, 2014 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 a contingent minimum return of at least 0.05% and the index return, subject to a maximum return of at least 15%. The exact contingent minimum return and maximum return will be set at pricing.

If a knock-out event occurs, the payout at maturity is par plus the index return, subject to the maximum return with full exposure to any losses.

The notes (Cusip: 48126D5J4) are expected to price May 17 and settle May 22.

J.P. Morgan Securities LLC is the agent.

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