By Angela McDaniels
Tacoma, Wash., May 20 - JPMorgan Chase & Co. priced $5.73 million of 0% dual directional buffered return enhanced notes due June 4, 2009 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the FTSE/Xinhua China 25 index with a 28% weight, the Korea Stock Price Index 200 with a 26.5% weight, the MSCI Taiwan index with a 21% weight, the Amex Hong Kong 30 index with a 16.5% weight and the MSCI Singapore index with an 8% weight.
If the final basket return is positive, the payout at maturity will be par plus 200% of the return. In this case, the payout will be subject to a maximum return of 16.7%.
If the final basket return is between zero and negative 10%, the payout will be par plus the absolute value of the return.
If the final basket return is below negative 10%, the payout will be par minus 1.1111% for each 1% decline beyond 10%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Dual directional buffered return enhanced notes
|
| Underlying indexes: | FTSE/Xinhua China 25 (28% weight), Korea Stock Price 200 (26.5% weight), MSCI Taiwan (21% weight), Amex Hong Kong 30 (16.5% weight) and MSCI Singapore (8% weight)
|
| Amount: | $5,725,000
|
| Maturity: | June 4, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any basket gain, capped at maximum return of 16.7%; par plus absolute value of any decline up to 10%; par minus 1.1111% for any 1% decline beyond 10%
|
| Pricing date: | May 16
|
| Settlement date: | May 21
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.41%, including 0.705% for selling concessions
|
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