JPMorgan to price capped daily observation return enhanced knock-out notes tied to Broadcom

By Angela McDaniels

Tacoma, Wash., Feb. 23 - JPMorgan Chase & Co. plans to price 0% capped daily observation return enhanced knock-out notes due March 14, 2012 linked to the common stock of Broadcom Corp., according to an FWP filing with the Securities and Exchange Commission.

A knock-out event will occur if Broadcom stock closes below 75% of its initial share price on any day during the life of the notes.

If a knock-out event occurs and the stock return is positive, the payout at maturity will be par plus double the stock return, subject to a maximum return of at least 29.46%.

If a knock-out event occurs and the stock return is negative, the payout will be par plus the stock return.

If a knock-out event does not occur, the payout will be 110% of par plus 2% for every 1% that the stock return exceeds 10%, if any, subject to a maximum return of at least 19.46%.

The exact maximum returns will be set at pricing.

The notes (Cusip: 48125XFJ0) are expected to price Feb. 25 and settle March 2.

J.P. Morgan Securities LLC is the agent.

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