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

By Toni Weeks

San Diego, June 7 - JPMorgan Chase & Co. plans to price 0% capped daily observation knock-out notes due June 27, 2012 linked to Mosaic Co. shares, according to an FWP filing with the Securities and Exchange Commission.

If the price of Mosaic stock falls by more than 30% during the life of the notes, the payout at maturity will be par plus the stock return, with exposure to any losses.

Otherwise, the payout will be par plus the greater of the stock return and a contingent minimum return of at least 9.08%.

The maximum payment at maturity in either case will be at least $1,200 per $1,000 principal amount.

The exact terms will be determined at pricing.

J.P. Morgan Securities LLC is the agent.

The notes will price on June 10 and settle on June 15.

The Cusip is 48125XUH7.

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