By Jennifer Chiou
New York, Aug. 30 - JPMorgan Chase & Co. priced a $2.68 million issue of 0% buffered return enhanced notes due Aug. 31, 2011 linked to an index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The indexes include the S&P 500 with a 60% weight, MSCI EAFE with a 30% weight and MSCI Emerging Markets with a 10% weight.
The payout at maturity will be par plus 1.095 times any positive return on the basket. Investors will receive par if the basket declines by 20% or less. Investors will lose 1% for each 1% that the basket drops beyond 20%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | S&P 500 (60% weight), MSCI EAFE (30% weight), MSCI Emerging Markets (10% weight)
|
| Amount: | $2.68 million
|
| Maturity: | Aug. 31, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 1.095 times any basket gain; par if the basket gains 20% or less; share in losses at 1% per 1% drop beyond 20%
|
| Pricing date: | Aug. 28
|
| Settlement date: | Aug. 31
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 3%
|
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