JPMorgan to price 0% buffered return enhanced notes linked to index basket

By Angela McDaniels

Seattle, May 2 - JPMorgan Chase & Co. plans to price an offering of 0% buffered return enhanced notes due May 27, 2010 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights of the Dow Jones Euro Stoxx 50, Nikkei 225 and S&P 500 indexes.

The payout at maturity will be par plus any basket gain multiplied by the upside leverage factor, which will be at least 148% and will be determined at pricing. Investors will receive par if the basket declines by 10% or less and will lose 1% for each 1% the basket falls beyond 10%.

The notes are expected to price on May 24 and settle on May 30.

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

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