By Susanna Moon
Chicago, Aug. 12 - JPMorgan Chase & Co. priced $8.43 million of 0% buffered return enhanced notes due Aug. 27, 2009 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Amex Hong Kong 30 index with a 16.5% weight, FTSE/Xinhua China 25 index with a 28% weight, Korea Stock Price index 200 with a 26.5% weight, MSCI Singapore index with an 8% weight and the MSCI Taiwan index with a 21% weight.
Payout at maturity will be par plus double any gain on the basket, up to a maximum return of 20.44%.
Investors will receive par if the index falls by 10% or less and will lose 1.1111% for every 1% decline beyond 10%.
The final level will be the arithmetic average of the basket's closing levels on the five consecutive trading days ending Aug. 24, 2009.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | FTSE/Xinhua China 25 (28% weight), Korea Stock Price Index 200 (26.5% weight), MSCI Taiwan (21% weight), Amex Hong Kong 30 (16.5% weight) and MSCI Singapore (8% weight)
|
| Amount: | $8,425,000
|
| Maturity: | Aug. 27, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, capped at maximum return of 20.44%; par if basket falls by up to 10%; 1.1111% loss for each 1% decline beyond 10%
|
| Pricing date: | Aug. 8
|
| Settlement date: | Aug. 13
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.3%, including 0.65% for selling concessions
|
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