By Marisa Wong
Milwaukee, May 25 - JPMorgan Chase & Co. priced $21.3 million of 0% capped index fund knock-out notes due Dec. 10, 2010 linked to the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.
If the exchange-traded fund share price declines by more than 30% of the initial share price on any day during the life of the notes, the payout at maturity will be par plus the fund return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the fund return and zero.
In either case, the return is subject to a cap of 25.2%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped index fund knock-out notes
|
| Underlying index fund: | iShares MSCI Emerging Markets
|
| Amount: | $21.3 million
|
| Maturity: | Dec. 10, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus fund return if share price falls by more than 30%; otherwise, par plus greater of fund return and 0%; return subject to cap of 25.2%
|
| Initial share price: | $37.36
|
| Pricing date: | May 21
|
| Settlement date: | May 26
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 0.5%
|
| Cusip: | 48124ARS8
|
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