JPMorgan plans capped daily observation knock-out notes on 12 stocks

By Marisa Wong

Madison, Wis., March 30 - JPMorgan Chase & Co. plans to price 0% capped daily observation knock-out notes due April 18, 2012 linked to a basket of 12 stocks, according to an FWP filing with the Securities and Exchange Commission.

The equally weighted basket consists of Arch Coal, Inc., Baker Hughes Inc., Chesapeake Energy Corp., Consol Energy Inc., ConocoPhillips, Cenovus Energy Inc., Halliburton Co., Noble Corp., Range Resources Co., Southwestern Energy Co., Teck Resources Ltd. and Exxon Mobil Corp.

The basket level on any day equals 100 plus the sum of the weighted returns of the basket stocks.

A knock-out event occurs if on any day during the life of the notes the basket closes below the initial level by more than 25.57%.

If a knock-out event occurs, the payout at maturity will be par plus the basket return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the basket return and a contingent minimum return of at least 0% that will be set at pricing.

In either case, the payout will be subject to a maximum return of at least 20%. The exact cap will be set at pricing.

The notes (Cusip: 48125XKX3) will price on April 1 and settle on April 6.

J.P. Morgan Securities LLC is the agent.

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