By Jennifer Chiou
New York, Oct. 30 - JPMorgan Chase & Co. priced $10,000 of zero-coupon knock-out notes due Oct. 31, 2011 linked to an index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes equal weights of the S&P 500, Nikkei 225 and Dow Jones Euro Stoxx 50 indexes.
A knock-out event will occur if any basket index closes below 35% of its initial level, and if it does, investors will share in any losses.
If no knock-out event occurs, the payout at maturity will be the greater of par plus the basket return or the contingent minimum return of 20%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Knock-out notes
|
| Underlying indexes: | Equal weights of the S&P 500, Nikkei 225 and Dow Jones Euro Stoxx 50 indexes
|
| Amount: | $10,000
|
| Maturity: | Oct. 31, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the greater of the basket return or 20% if a knock-out event does not occur; investors share in losses if a knock-out event does occur
|
| Knock-out buffer amount: | 35%
|
| Pricing date: | Oct. 28
|
| Settlement date: | Oct. 31
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 2.48%, including 2% for selling concessions
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