JPMorgan to price buffered return enhanced notes due 2010 linked to gold

By Angela McDaniels

Tacoma, Wash., March 2 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due March 18, 2010 linked to the price of gold, according to an FWP filing with the Securities and Exchange Commission.

If the final price of gold is greater than the strike level, then the payout at maturity will be par plus 150% of the increase in the price over the strike level. The payout will be subject to a maximum return of at least 23% that will be set at pricing.

Investors will receive par if the price declines by 15% or less from the strike level and will lose 1% for every 1% that the price declines by more than 15% below the strike level.

The issuer said the strike level will be set on the pricing date and will not be the same as the price of gold on that date.

The notes are expected to price March 9 and settle March 12.

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

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