JPMorgan plans to price capped knock-out notes linked to Euro Stoxx 50

By Marisa Wong

Madison, Wis., Aug. 15 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Sept. 10, 2013 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index falls by more than the knock-out buffer amount, 30%, on any day 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 the greater of the index return and the contingent minimum return. In each case, the payout will be subject to a maximum return.

The contingent minimum return is expected to be at least 10%. The maximum return is also expected to be at least 10%. Both will be set at pricing.

The notes (Cusip: 48125V3J7) are expected to price Aug. 16 and settle Aug. 20.

J.P. Morgan Securities LLC is the agent.

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