JPMorgan plans capped daily observation knock-out notes on Freeport

By Jennifer Chiou

New York, Nov. 30 - JPMorgan Chase & Co. plans to price 0% capped daily observation knock-out notes due Dec. 21, 2011 linked to the common stock of Freeport-McMoRan Copper & Gold Inc., according to an FWP with the Securities and Exchange Commission.

If the price of Freeport-McMoRan stock falls by more than 37.25% 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 30%. The exact minimum and maximum will be set at pricing.

The notes (Cusip: 48124A4C8) will price on Dec. 3 and settle on Dec. 8.

J.P. Morgan Securities LLC is the agent.

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