JPMorgan to price capped knock-out notes linked to S&P MidCap 400

By Toni Weeks

San Diego, Nov. 16 - JPMorgan Chase & Co. plans to price 0% capped single observation index knock-out notes due Dec. 5, 2012 linked to the S&P MidCap 400 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 on the Nov. 30, 2012 observation date.

If a knock-out event does not occur, the payout at maturity is par plus the index return, subject to a contingent minimum return of at least 7.5% and a maximum return of at least 20%. The exact contingent minimum return and maximum return will be determined at pricing.

If a knock-out event occurs, the payout at maturity is par plus the index return. Investors will be fully exposed to losses.

The notes (Cusip: 48125VDA5) are expected to price Nov. 18 and settle Nov. 23.

J.P. Morgan Securities LLC is the agent.

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