JPMorgan to price lookback return enhanced notes linked to S&P 500

By E. Janene Geiss

Philadelphia, July 15 - JPMorgan Chase & Co. plans to price 0% return enhanced notes due Aug. 25, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the final index level increases over the lookback index level, investors will receive par plus triple any gain on the index, up to a maximum return of at least 13.35%. The exact cap will be set at pricing.

The index level will be measured during the 30-day calendar period from and including the pricing date, called the lookback observation period. Pricing is slated for July 18 with settlement July 23.

Investors are fully exposed to any index decline.

The final index level will be the arithmetic average of the index's closing levels on the five consecutive trading days ending Aug. 20, 2009.

The notes are expected to price July 18 and settle July 23.

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

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