JPMorgan plans capped daily observation knock-out notes on Google

By Jennifer Chiou

New York, July 26 - JPMorgan Chase & Co. plans to price 0% capped daily observation knock-out notes due Aug. 15, 2012 linked to Google Inc. class A shares, according to an FWP with the Securities and Exchange Commission.

If Google shares ever fall by more than 25% during the life of the notes, the payout at maturity will be par plus the return, with exposure to losses.

Otherwise, the payout will be par plus the greater of the stock return and the contingent minimum return, which will be at least 2.68%.

The maximum payout at maturity will be at least $1,200 per $1,000 principal amount.

The exact contingent minimum and maximum return will be set at pricing.

The notes (Cusip: 48125XA55) will price on July 29 and settle on Aug. 3.

J.P. Morgan Securities LLC is the agent.

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