By Susanna Moon
Chicago, June 18 - JPMorgan Chase & Co. priced $4.5 million of 0% index fund knock-out notes due July 21, 2011 based on the performance of the iShares MSCI EAFE index fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the shares fall by more than 44.1% during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the fund return, with exposure to any losses.
If a knock-out event has not occurred, the payout will be par plus the greater of the fund return and a contingent minimum return of zero.
J.P. Morgan Securities Inc. is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Index fund knock-out notes
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Underlying fund: | iShares MSCI EAFE index fund
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Amount: | $4.5 million
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Maturity: | July 21, 2011
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If shares never fall by more than 44.1% during life of notes, par plus any gain, floor of par; otherwise, par plus fund return, with exposure to losses
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Initial share price: | $50.54
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Pricing date: | June 16
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Settlement date: | June 21
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 0.75%
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Cusip: | 48124AUR6
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