JPMorgan plans capped single observation knock-out notes on 15 stocks

By Jennifer Chiou

New York, Nov. 1 - JPMorgan Chase & Co. plans to price 0% capped single observation knock-out notes due Nov. 21, 2012 linked to a basket of 15 stocks, according to an FWP with the Securities and Exchange Commission.

The equally weighted basket consists of Apple Inc., Broadcom Corp., Corning Inc., EMC Corp., Google Inc., International Business Machines Corp., Intel Corp., Linear Technology Corp., Marvell Technology Group Ltd., NetApp, Inc., Oracle Corp., Qualcomm Inc., Riverbed Technology, Inc., SanDisk Corp. and Symantec Corp.

The basket level on any day is equal to 100 plus the sum of the weighted returns of the basket stocks.

A knock-out event occurs if the final basket level is less than the initial level by more than 20%.

If a knock-out event occurs, the payout at maturity will be par plus the basket return, and investors will be fully exposed to the share price decline. Otherwise, the payout will be par plus the greater of the basket return and a contingent minimum return of at least 2.05% that will be set at pricing. The payout will be subject to a maximum return of at least 20% that will also be set at pricing.

The notes (Cusip: 48125VAU4) will price on Nov. 4 and settle on Nov. 9.

J.P. Morgan Securities LLC is the agent.

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