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Published on 11/10/2008 in the Prospect News Structured Products Daily.

JPMorgan to price buffered return enhanced notes linked to S&P 500

By E. Janene Geiss

Philadelphia, Nov. 10 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Nov. 17, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Payout at maturity will be par plus 1.3 times any gain on the index, up to a maximum return of 68% to 78%. The exact cap will be set at pricing.

Investors will receive par if the index falls by 10% and will lose 1% for each 1% drop beyond 10%.

The notes are expected to price on Nov. 14 and settle on Nov. 19.

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


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