New Issue: JPMorgan prices 4.11 million capped index knock-out notes linked to S&P 500 index

By Toni Weeks

San Diego, June 26 - JPMorgan Chase & Co. priced $4.11 million of 0% capped index knock-out notes due July 10, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event occurs if the index's closing level is less than the initial index level by more than 26.3% on any day during the life of the notes.

If a knock-out event does not occur, the payout at maturity will be par plus 10%. If a knock-out event does occur, the payout will be par plus the lesser of the index return and 10%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Capped index knock-out notes
Underlying index:	S&P 500
Amount:	$4,105,000
Maturity:	July 10, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	If index falls by more than 26.3% during life of notes, par plus lesser of index return and 10%; otherwise, par plus 10%
Initial index level:	1,335.02
Pricing date:	June 22
Settlement date:	June 27
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48125VK82

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