By Susanna Moon
Chicago, Dec. 18 - JPMorgan Chase & Co. priced $2.3 million of 0% buffered return enhanced notes due Jan. 7, 2009 linked to an Asian index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket contains the Amex Hong Kong 30 with a 16.5% weight, the FTSE/Xinhua China 25 with a 29% weight, the Korea Stock Price index 200 with a 27% weight, the MSCI Singapore index with an 8.5% weight and the MSCI Taiwan index with a 19% weight.
The payout at maturity will be par plus double any gain on the index, up to a maximum return of 24.2%.
If the ending index level declines by 10% or less, the payout at maturity will be par. Holders will lose 1.1111% for each 1% the index declines beyond 10%.
The closing basket level will be the average of the indexes' closing levels on Dec. 23, Dec. 24, Dec. 29 and Dec. 30 of 2008 and Jan. 2, 2009.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Amex Hong Kong 30 (16.5% weight), the FTSE/Xinhua China 25 (29% weight), the Korea Stock Price index 200 (27% weight), the MSCI Singapore (8.5% weight) and the MSCI Taiwan (19% weight)
|
| Amount: | $2.3 million
|
| Maturity: | Jan. 7, 2009
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double the basket gain, capped at 24.2%; if index falls by up to 10%, par; 1.1111% loss for each the 1% decline in index beyond 10%
|
| Final index levels: | Average of index closing levels on Dec. 23, Dec. 24, Dec. 29 and Dec. 30 of 2008 and Jan. 2, 2009
|
| Pricing date: | Dec. 14
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| Settlement date: | Dec. 19
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| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.33%, including 0.665% for selling concessions
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