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

By Marisa Wong

Madison, Wis., Nov. 16 - JPMorgan Chase & Co. plans to price 0% capped daily observation knock-out notes due Dec. 7, 2011 linked to the common stock of Bank of America Corp., according to an FWP filing with the Securities and Exchange Commission.

If the price of Bank of America stock falls by more than 36.3% from the initial share price during the life of the notes, the payout at maturity will be par plus the stock return, which could be positive or negative.

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

In either case, the payout will be subject to a maximum return of at least 25%. The exact minimum and maximum will be set at pricing.

The notes (Cusip: 48124A2W6) will price on Nov. 19 and settle on Nov. 24.

J.P. Morgan Securities LLC is the agent.

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