New Issue: JPMorgan prices $206,000 principal-protected knock-out notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Nov. 26 - JPMorgan Chase & Co. priced $206,000 of zero-coupon principal-protected knock-out notes due May 31, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index closes above the knock-out level - 137.5% of the initial level - during the life of the notes, the payout at maturity will be par plus 4%.

Otherwise, the payout will be 105% of par plus the index return at maturity, subject to a floor of par.

J.P. Morgan Securities Inc. is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Principal-protected knock-out notes
Underlying index:	S&P 500
Amount:	$206,000
Maturity:	May 31, 2011
Coupon:	0%
Price:	Par
Payout at maturity:	If index closes above knock-out level during life of notes, par plus 4%; otherwise, 105% of par plus index return, with floor of par
Initial index level:	851.81
Knock-out level:	1,171.23, 137.5% of the initial level
Pricing date:	Nov. 24
Settlement date:	Nov. 28
Agent:	J.P. Morgan Securities Inc.
Fees:	3.9%

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