JPMorgan plans capped daily observation knock-out notes on Vodafone

By Jennifer Chiou

New York, July 19 - JPMorgan Chase & Co. plans to price 0% capped daily observation knock-out notes due Aug. 8, 2012 linked to the American Depositary Shares of Vodafone Group plc, according to an FWP with the Securities and Exchange Commission.

If the closing price of Vodafone ADSs falls by more than 20% during the life of the notes, the payout at maturity will be par plus the ADS return, which could be positive or negative.

Otherwise, the payout will be par plus the greater of the ADS return and the contingent minimum return, which will be at least 12.7%.

In each case, the return will be subject to a cap of at least 20%.

The exact contingent minimum return and cap will be set at pricing.

The notes (Cusip: 48125XYZ3) are expected to price on July 22 and settle on July 27.

J.P. Morgan Securities LLC is the agent.

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