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

By E. Janene Geiss

Philadelphia, Nov. 27 - JPMorgan Chase & Co. plans to price an issue of 0% buffered return enhanced notes due Dec. 2, 2009 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.

The underlying indexes include the S&P BRIC 40 with a 17.5% weight, the Dow Jones Euro Stoxx 50 with a 15% weight, the Nikkei 225 with a 10% weight, the FTSE 100 index with a 10% weight, the Ceceeur with a 10% weight, the Dow Jones U.S. Real Estate with a weight of 10%, the Amex Hong Kong 30 with a 7.5% weight the Korea Stock Price 200 with a 7.5% weight, the MSCI Taiwan with a 7.5% weight and the Goldman Sachs Commodity Index Excess Return with a 5% weight.

The pricing date was expected to be Nov. 27 with settlement on Nov. 30.

The payout at maturity will be par plus at least 1.2 times any positive return on the basket, with the level of the multiplier to be determined at pricing.

If the ending basket level declines by more than 20%, holders will lose 1% for each 1% the basket declines beyond 20%. Otherwise the payout is par.

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

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