JPMorgan plans capped knock-out notes on SPDR S&P Homebuilders ETF

By Toni Weeks

San Diego, May 20 - JPMorgan Chase & Co. plans to price 0% capped index fund knock-out notes due Nov. 30, 2012 linked to the SPDR S&P Homebuilders exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If the fund falls by more than 25% during the life of the notes, the payout at maturity will be par plus the fund return, with exposure to any losses.

Otherwise, the payout will be par plus the fund return, with a contingent minimum return of at least 8%.

The maximum payment at maturity in either case will be $1,200 to $1,250 per $1,000 principal amount of notes.

The exact terms will be determined at pricing.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 25 and settle on May 31.

The Cusip is 48125XSM9.

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