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Published on 12/10/2008 in the Prospect News Structured Products Daily.

JPMorgan to price 0% notes linked to three buffered return enhanced indexes

By Angela McDaniels

Tacoma, Wash., Dec. 10 - JPMorgan Chase & Co. plans to price 0% notes due Dec. 31, 2009 linked to a basket of three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Dow Jones Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 25% weight and the Topix index with a 20% weight.

The payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the basket indexes.

If a basket index finishes above its initial level, its return will be double the gain, capped at a maximum return. If a basket index falls by 10% or less, its return will be 0%. If a basket index falls by more than 10%, its return will be 0% minus 1.1111% for every 1% that the index falls beyond 10%.

The maximum return will be at least 19.6% for the Euro Stoxx 50, at least 18.3% for the FTSE 100 and at least 17% for the Topix. The exact caps will be set at pricing.

The notes are expected to price on Dec. 12 and settle on Dec. 17.

J.P. Morgan Securities Inc. is the agent.


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