JPMorgan to price 0% buffered return enhanced notes linked to Nikkei 225

By Angela McDaniels

Seattle, Feb. 2 - JPMorgan Chase & Co. will price an offering of 0% buffered return enhanced senior unsecured notes due June 8, 2007 linked to the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission.

Noteholders will participate in two times any positive return of the Nikkei 225 up to a maximum percentage, expected to be at least 28%.

If the ending index level declines by 10% or less, payout at maturity will be par. Holders will be fully exposed to any declines beyond 10%.

The ending index level will be the average of the index's closing levels on the May 28, 2007, May 29, 2007, May 30, 2007, May 31, 2007 and June 1, 2007.

JP Morgan expects to price the notes on or about Feb. 17 and settle them seven days later.

JP Morgan Securities Inc. will act as agent for the transaction.

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