JPMorgan plans daily observation knock-out notes on General Motors

By Toni Weeks

San Diego, March 8 - JPMorgan Chase & Co. plans to price capped daily observation knock-out notes due March 28, 2012 linked to the common stock of General Motors Co., according to an FWP filing with the Securities and Exchange Commission.

If the price of General Motors stock falls by more than 25% from its 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 the greater of the stock return and the contingent minimum return of at least 10%.

In either case, the payout will be subject to a maximum return of at least 25.15%, or $1,251.50 per $1,000 principal amount of notes. The exact minimum and maximum will be set at pricing.

The notes (Cusip: 48125XHE9) are expected to price March 11 and settle March 16.

J.P. Morgan Securities LLC will act as agent.

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