New Issue: JPMorgan prices $2.7 million 0% notes linked to S&P 500

New York, Aug. 1 - JPMorgan Chase & Co. priced $2.7 million 0% buffered return-enhanced notes linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.

At maturity the notes pay double any positive return on the index, capped at an 18% return. Holders receive par if the index loses up to 10%. For losses above 10%, the return on the notes is par minus 1.1111 times the loss over 10%.

JPMorgan was underwriter.

Issuer:	JPMorgan Chase & Co.
Issue:	Buffered return-enhanced senior notes
Underlying index:	S&P 500
Amount:	$2.7 million
Maturity:	Aug. 24, 2007
Coupon:	0%
Price:	Par
Payout at maturity:	If index return is positive, par plus double return, capped at 18% gain; if return is up to 10% negative, par; if return is more than 10% negative, par minus 1.1111 times loss over 10%; index return is averaged over five days from Aug. 13, 2007 to Aug. 17, 2007
Pricing date:	July 27
Settlement date:	Aug. 3
Underwriter:	JPMorgan

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