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JPMorgan plans 0% buffered return enhanced notes linked to MSCI EAFE, S&P
By E. Janene Geiss
Philadelphia, Jan. 29 - JPMorgan Chase & Co. plans to price an issue of 0% buffered return enhanced notes due Feb. 18, 2009 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of the MSCI EAFE Index with a 65% weight and the S&P 500 with a 35% weight.
If the final basket level is at least the initial level, the payout at maturity will be three times any positive return on the basket up to a maximum payout equal to 16.6% of par. The exact upside leverage factor and cap will be determined at pricing.
If the index declines by up to 10%, the payout will be par. Investors will lose 1.1111% for each 1% that the index declines beyond 10%.
The initial basket level will be the average of the basket's closing levels on Jan. 29, Jan. 30, Jan. 31, Feb. 1 and Feb. 4.
The final basket level will be the average of the basket's closing levels on Feb. 6, Feb. 9, Feb. 10, Feb. 11 and Feb. 12 of 2009.
The notes are expected to price Feb. 4 and settle Feb. 7.
J.P. Morgan Securities Inc. will be the agent.
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