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JPMorgan to price autocallable knock-out notes linked to S&P 500 index
By Angela McDaniels
Tacoma, Wash., June 29 - JPMorgan Chase & Co. plans to price 0% autocallable index knock-out notes due March 31, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The notes will be called at 107% of par if the index closes at or above 107% of its initial level on any review date, which are the first business day of each week.
If the notes are not called and the index closes below 79.93% of its initial level on any day during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus the index return, subject to a floor of par.
Because the final observation date is also a review date, the maximum return possible on the notes is 7%.
The notes are expected to price July 1 and settle July 7.
J.P. Morgan Securities Inc. is the agent.
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