By Angela McDaniels
Seattle, Dec. 12 - JPMorgan Chase & Co. priced a $4 million issue of principal-protected auto callable knock-out notes due Dec. 11, 2008 linked to the iShares MSCI Emerging Markets Index Fund, according to a 424B2 filing with the Securities and Exchange Commission.
If the share price trades above the knock-out level - $167.85, or 150% of the initial price - during the life of the notes, the notes will be automatically called and investors will receive a fixed payment of $1,080 per $1,000 principal amount of notes.
If the notes are not called, the payout at maturity will be par plus double the return on the fund if the fund's share price does not rise above 125% of its initial price during the life of the notes. Otherwise, the payout will be par plus the return on the fund. Investors will receive at least par.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Principal-protected auto callable knock-out senior notes
|
| Underlying shares: | iShares MSCI Emerging Markets Index Fund
|
| Amount: | $4 million
|
| Maturity: | Dec. 11, 2008
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double the fund return if the share price remains 125% of its initial share price or less; par plus the fund return if the share price exceeds 125% of its initial share price; floor of par
|
| Initial share price: | $111.90
|
| Knock-out level: | $167.85, 150% of initial price
|
| Yield to call: | 108%
|
| Pricing date: | Dec. 8
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| Settlement date: | Dec. 13
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| Agent: | J.P. Morgan Securities Inc.
|
| Agent fees: | 1.95%
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