By Jennifer Chiou
New York, Sept. 3 - JPMorgan Chase & Co. priced $2.88 million of 0% buffered return enhanced notes due March 4, 2010 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 34% weight, Russell 2000 with a 33% weight and the MSCI EAFE with a 33% weight.
Payout at maturity will be par plus double any gain on the basket, up to a maximum return of 22.15%.
Investors will receive par if the index falls by 10% or less and will lose 1% for every 1% decline beyond 10%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | S&P 500 (34% weight), Russell 2000 (33% weight), MSCI EAFE (33% weight)
|
| Amount: | $2,876,000
|
| Maturity: | March 4, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, capped at maximum return of 22.15%; par if basket falls by up to 10%; 1% loss for each 1% decline beyond 10%
|
| Pricing date: | Aug. 29
|
| Settlement date: | Sept. 4
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.061%, including 0.1% for selling concessions
|
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