JPMorgan plans issue of 0% buffered return enhanced notes linked to S&P 500

By Jennifer Chiou

New York, July 6 - JPMorgan Chase & Co. plans to price an issue of 0% buffered return enhanced notes due Jan. 31, 2008 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The pricing date is expected to be on or about July 14 with settlement on July 19.

Noteholders will receive par plus twice any positive return on the index, up to a maximum payout of at least 15%. The exact level of the maximum return will be set at pricing.

If the ending index level declines by 10% or less, payout at maturity will be par. Holders will lose 1.1111% for each 1% decline beyond 10%.

J.P. Morgan Securities Inc. will be agent for the offering.

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