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JPMorgan to price bearish knock-out return enhanced notes linked to S&P
By E. Janene Geiss
Philadelphia, July 11 - JPMorgan Chase & Co. plans to price 0% bearish knock-out return enhanced notes due Aug. 29, 2008 linked inversely to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The notes are expected to price July 16 and settle July 30.
The payout at maturity will be par plus quadruple the absolute value of any decline on the index, capped at no less than 49%. The exact cap will be set at pricing.
Investors will receive par at maturity if the index gains but a knock-out event does not occur. The knock-out is triggered if the index gains by 10% or more at any time during the life of the notes. If that happens, investors will lose 1% for every 1% that the index gains.
J.P. Morgan Securities Inc. will be the agent.
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