JPMorgan to sell 0% buffered notes linked to S&P 500 for Merrill

By Jennifer Chiou

New York, Dec. 22 - JPMorgan Chase & Co. plans to price an issue of 0% buffered return enhanced senior notes due Jan. 27, 2009 linked to the S&P 500 index for issuer Merrill Lynch & Co., Inc., according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus twice any positive return on the index, capped at a maximum payout of 24%.

If the ending index level declines by 15% or less, the payout will be par. Holders will lose 1.1765% for each 1% decline beyond 15%.

The notes will price on Dec. 22 and settle on Dec. 28.

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