JPMorgan plans slate of buffered return enhanced notes linked to various indexes including S&P 500

By Sheri Kasprzak

New York, Sept. 18 - JPMorgan Chase & Co. led the week with word that it plans to price 0% buffered return enhanced notes linked to the Standard & Poor's 500 index. The notes, announced Monday, are in addition to three other buffered return enhanced notes announced late last week.

In the most recently announced deal, the notes, which are due Sept. 23, 2008, are set to price Sept. 23.

If the S&P advances beyond the initial index level, the investors will receive par plus twice the return on the index, up to 21.8%, with the precise level of the maximum return to be at least that figure and to be determined at pricing.

If the index declines by 10% or less, the investors will receive par at maturity, but if the index declines by more than 10%, the investors will lose 1.1111% for every 1% the index declines beyond 10%.

Index gains lift structure's appeal

On Friday, JPMorgan announced its plans to price three buffered return enhanced notes linked to several indexes, including the S&P 500, the Nikkei 225 index and a basket of Asian indexes.

"[Buffered return enhanced notes], at least the ones linked to those indexes, make sense now just because of the strength of the indexes," said one equity structurer when asked about why these particular notes are being priced at this time.

"The indexes are all poised to go up or else are in emerging markets that are incredibly hot right now.

"Ten percent is pretty standard [for a downside buffer]," he added.

JPMorgan will price 0% buffered return enhanced notes linked to the S&P 500 index. Those notes are due March 5, 2007.

Similarly, JPMorgan will price 0% buffered return enhanced notes linked to the Nikkei 225 index and 0% buffered return enhanced notes linked to the Korea Stock Price index with a 31.6% weight, the MSCI Taiwan index with a 23.9% weight, the Amex Hong Kong 30 index with an 18.2% weight, the FTSE/Xinhua China 25 index with a 17.4% weight and the MSCI Singapore index with an 8.9% weight.

All of the notes are scheduled to price Sept. 22.

In the S&P-linked notes, noteholders will receive par plus twice any positive return on the index up to a maximum return, to be determined at pricing, with a 13.7% minimum.

Noteholders of the Nikkei-linked notes will receive par plus twice any positive return on the index up to a maximum return - also to be determined at pricing - with a 19.6% minimum.

Finally, in the case of the notes linked the basket of Asian indexes, the holders will receive par plus twice any positive return on the index up to a maximum return to be determined at pricing with a 16.2% minimum.

In the case of all the notes, payout at maturity will be par if the ending index level declines by 10% or less. Holders, however, will lose 1.1111% for every 1% the index declines beyond 10%.

No upside multiplier, bigger buffer

Similarly, JPMorgan Chase & Co. plans to price 0% buffered equity notes linked to the S&P 500. These notes do not carry upside return enhancement but have the potential for a bigger gain and more downside protection.

The notes are due Sept. 30, 2008.

Payout at maturity will be par if the index declines by 15% or less over the term of the notes. If the index increases by more than 15%, the investors will receive par plus a maximum total return, to be determined at pricing, of at least 29.75%.

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