By Angela McDaniels
Seattle, May 1 - JPMorgan Chase & Co. priced a $13.485 million issue of 0% buffered return enhanced notes due Oct. 31, 2008 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Korea Stock Price index 200 with a 28.5% weight, the MSCI Taiwan index with a 23% weight, the FTSE/Xinhua China 25 index with a 21% weight, the Amex Hong Kong 30 index with a 17.5% weight and the MSCI Singapore index with a 10% weight.
The payout at maturity will be par plus double any basket gain, subject to a maximum return of 25%. Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for each 1% decline beyond 10%.
The final index levels will be the average of the indexes' levels on Oct. 21, Oct. 22, Oct. 23, Oct. 24 and Oct. 28 of 2008.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Buffered return enhanced notes
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| Underlying indexes: | Korea Stock Price index 200 (28.5% weight), MSCI Taiwan index (23% weight), FTSE/Xinhua China 25 index (21% weight), Amex Hong Kong 30 index (17.5% weight) and MSCI Singapore index (10% weight)
|
| Amount: | $13.485 million
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| Maturity: | Oct. 31, 2008
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Par plus double any basket gain, capped at 25%; par if basket falls by 10% or less; 1.1111% loss for each 1% decline beyond 10%
|
| Pricing date: | April 27
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| Settlement date: | May 2
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| Agent: | J.P. Morgan Securities Inc.
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| Agent fees: | 1.5%, including 0.75% for selling concessions
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