By Jennifer Chiou
New York, Nov. 20 - JPMorgan Chase & Co. priced $45 million of 0% autocallable index knock-out notes due Aug. 27, 2010 linked to the Dow Jones Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index closes at or above 107% of its initial level on any review date, the notes will be automatically called at 107% of par. The review dates are the second business day of each week beginning on Dec. 1, 2009.
If the notes are not called and the index falls to or below the knock-out level - 20% below the initial level - during the life of the notes, the payout at maturity will be par plus the index return.
If the notes are not called and the index remains above the knock-out level, the payout will be par plus the greater of the index return and contingent minimum return of 5.15%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable index knock-out notes
|
| Underlying index: | Dow Jones Euro Stoxx 50
|
| Amount: | $45 million
|
| Maturity: | Aug. 27, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index declines by 20% or more during life of notes, par plus index return; otherwise, par plus greater of index return and 5.15%
|
| Call: | Automatically at par plus 7% if index closes at or above 107% of initial level on the second business day of each week beginning on Dec. 1, 2009
|
| Initial index level: | 2,908.53
|
| Pricing date: | Nov. 18
|
| Settlement date: | Nov. 23
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 0.75%
|
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