JPMorgan plans knock-out notes tied to iShares MSCI EM with 13.9% cap

By Susanna Moon

Chicago, Jan. 18 - JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Feb. 6, 2013 linked to the iShares MSCI Emerging Markets index fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the fund ever closes below 70% of the initial level during the life of the notes.

If a knock-out event does not occur, the payout at maturity is par plus any fund gain, with a contingent minimum return of at least 13.9%. The exact floor will be set at pricing.

Otherwise, the payout at maturity is par plus the fund return with exposure to any losses.

In either case, the maximum return is at least 13.9%, or $1,139 per $1,000 of notes. The exact cap will be set at pricing.

J.P. Morgan Securities LLC will be the agent.

The notes will price on Jan. 20 and settle on Jan. 25.

The Cusip number is 48125VJZ4.

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