JPMorgan to sell knock-out notes linked to S&P, Nikkei and Euro Stoxx indexes

By E. Janene Geiss

Philadelphia, Feb. 1 - JPMorgan Chase & Co. plans to price zero-coupon knock-out notes due Feb. 28, 2011 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket contains equal weights of the S&P 500, the Nikkei 225 and the Dow Jones Euro Stoxx 50 indexes.

If no knock-out event occurs, the payout at maturity will be par plus the greater of the return on the basket and the contingent minimum return, which will be at least 20%. The exact contingent minimum return will be determined at pricing.

If any of the indexes falls by more than 40%, a knock-out event will occur and investors will be exposed to any losses, receiving par plus the index return at maturity.

The notes are expected to price Feb. 26 and settle Feb. 29.

J.P. Morgan Securities Inc. will be the agent.

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