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Published on 1/30/2007 in the Prospect News Structured Products Daily.

JPMorgan plans 0% buffered return enhanced notes linked to Dow Jones AIG Commodity index

By E. Janene Geiss

Philadelphia, Jan. 30 - JPMorgan Chase & Co. plans to price an issue of 0% buffered return enhanced notes due Aug. 11, 2008 linked to the Dow Jones AIG Commodity index, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price Feb. 6 and settle Feb. 9.

The payout at maturity will be at least 2.3 times any positive return on the basket, with the exact leverage factor to be set at pricing. The payout is subject to a cap, which will be set at pricing and will be at least 30%.

If the ending index level declines by 10% or less, the payout at maturity will be par. Investors will lose 1% for each 1% the index declines beyond 10%.

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


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