By Jennifer Chiou
New York, Sept. 9 - JPMorgan Chase & Co. priced $1 million of 0% upside knock-out buffered equity notes due Dec. 9, 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-out event will occur if the index closes above the knock-out level - 140% of the initial index level - on any day during the life of the notes.
If a knock-out event has occurred, the payout at maturity will be:
• Par plus the 9.75% knock-out rate if the final index level is at least 90% of the initial level; or
• Par plus the knock-out rate and minus 1% for every 1% that the final index level is below 90% of the initial level.
If a knock-out event does not occur, the payout at maturity will be:
• Par plus the index return if the index finishes above its initial level;
• Par if the index finishes below the initial level by 10% or less; or
• Par minus 1% for every 1% that it declines beyond 10%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Upside knock-out buffered equity notes
|
| Underlying index: | S&P 500
|
| Amount: | $1 million
|
| Maturity: | Dec. 9, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If a knock-out event occurs, the payout is par plus 9.75% knock-out rate if the final index level is at least 90% of the initial level or par plus the knock-out rate and minus 1% for every 1% that the final index level is below 90% of the initial level; if a knock-out event does not occur, the payout at maturity will be par plus the index return if the index finishes above its initial level; investors share in losses beyond 10%
|
| Initial index level: | 1,016.40
|
| Knock-out level: | 1,422.96, 140% of initial index level
|
| Pricing date: | Sept. 4
|
| Settlement date: | Sept. 10
|
| Underwriter: | J.P. Morgan Securities Inc.
|
| Fees: | 1.85%
|
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