JPMorgan Chase to price 0% return enhanced notes linked to S&P 500

By Angela McDaniels

Seattle, July 3 - JPMorgan Chase & Co. plans to price zero-coupon return enhanced notes due Aug. 13, 2008 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price on July 6 and settle on July 11.

The payout at maturity will be par plus double any index gain, subject to a maximum return that will be at least 17% and will be determined at pricing. Investors will be fully exposed to any index decline.

The final index level will be the average of the index's closing levels on Aug. 4, Aug. 5, Aug. 6, Aug. 7 and Aug. 8 of 2008.

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

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