New Issue: JPMorgan prices $10.82 million capped knock-out notes tied to S&P 500

By Jennifer Chiou

New York, Dec. 27 - JPMorgan Chase & Co. priced $10.82 million of 0% capped index knock-out notes due Jan. 9, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index's closing level is less than the initial index level by more than 20% on any day during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the index return and 12%.

The payout will be subject to a maximum return of 20%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped index knock-out notes
Underlying index:	S&P 500
Amount:	$10,821,000
Maturity:	Jan. 9, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	If index falls by more than 20% during life of notes, par plus index return; otherwise, par plus greater of index return and 12%; return capped at 20%
Initial index level:	1,254
Pricing date:	Dec. 22
Settlement date:	Dec. 28
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48125VGR5

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