JPMorgan plans capped daily observation knock-out notes tied to GE

By Jennifer Chiou

New York, June 28 - JPMorgan Chase & Co. plans to price 0% capped daily observation knock-out notes due July 25, 2012 linked to General Electric Co. shares, according to an FWP with the Securities and Exchange Commission.

If the price of General Electric stock falls by more than 23% during the life of the notes, the payout at maturity will be par plus the stock return, with exposure to any losses.

Otherwise, the payout will be par plus the greater of the stock return and a contingent minimum return of at least 10%.

The maximum payment at maturity in either case will be $1,250 per $1,000 principal amount.

The exact terms will be set at pricing.

The notes (Cusip: 48125XXD3) are expect to price on July 1 and settle on July 7.

J.P. Morgan Securities LLC is the agent.

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