By Jennifer Chiou
New York, March 12 - JPMorgan Chase & Co. priced $89.8 million of 0% autocallable index knock-out notes due June 17, 2011 linked to the S&P MidCap 400 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.
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 0%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Autocallable index knock-out notes
|
| Underlying index: | S&P MidCap 400
|
| Amount: | $89,797,000
|
| Maturity: | June 17, 2011
|
| 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 0%
|
| Call: | Automatically at par plus 7% if index closes at or above 107% of initial level on the second business day of any week
|
| Initial index level: | 778.8
|
| Pricing date: | March 10
|
| Settlement date: | March 15
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 0.96%
|
| Cusip: | 48124AJZ1
|
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