By Angela McDaniels
Tacoma, Wash., Dec. 29 - JPMorgan Chase & Co. priced $30,000 of 0% head-start buffered equity knock-out notes due Dec. 29, 2010 linked to the S&P 500 index, according to a 424B2 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 - during the life of the notes. If such a knock-out event occurs, then the payout at maturity will be par plus 6%.
If no knock-out event occurs, then the payout will be:
• Par plus the index return plus 10% if the final index level is at least 90% of the initial level;
• Par if the final index level is at least 70% of the initial level and less than 90% of the initial level; and
• Par minus 1% for every 1% that the final level is below 70% of the initial level.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Head-start buffered equity knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $30,000
|
| Maturity: | Dec. 29, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index ever closes above knock-out level, par plus 6%; if final index level is at least 90% of initial level, par plus index return plus 10%; if final level is 70% to 90% of initial level, par; otherwise, 1% loss for every 1% that index declines beyond 30%
|
| Initial index level: | 863.16
|
| Knock-out level: | 1,208.424, 140% of initial level
|
| Pricing date: | Dec. 23
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| Settlement date: | Dec. 29
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 2.79%, including 2% for selling concessions
|
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