By Jennifer Chiou
New York, July 31 - JPMorgan Chase & Co. priced a $19.723 million issue of 0% buffered return enhanced notes due Oct. 2, 2008 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus double any index gain, subject to a maximum return of 15.5%. Investors will receive par if the index falls by 10% or less and will lose 1.1111% for each 1% decline beyond 10%.
The final index level will be the average of the index's closing levels on Sept. 23, Sept. 24, Sept. 25, Sept. 26 and Sept. 28 of 2008.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Buffered return enhanced notes
|
| Underlying index: | S&P 500
|
| Amount: | $19.723 million
|
| Maturity: | Oct. 2, 2008
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any index gain, capped at a 15.5% return; par if index falls by 10% or less; 1.1111% loss for each 1% decline beyond 10%
|
| Initial index level: | 1,458.95
|
| Pricing date: | July 27
|
| Settlement date: | Aug. 1
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.4%, including 0.7% for selling concessions
|
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