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Published on 8/11/2008 in the Prospect News Structured Products Daily.

JPMorgan plans contingent payment dual-directional knock-out CDs due 2010 linked to S&P 500

By Susanna Moon

Chicago, Aug. 11 - JPMorgan Chase & Co. plans to sell 0% contingent payment dual-directional knock-out certificates of deposit due Feb. 26, 2010 linked to the S&P 500 index, according to a term sheet.

If the index remains within the knock-out levels throughout the life of the CDs, the payout at maturity will be par plus the absolute value of the index return times a participation rate of at least 100%, up to a cap of 21%. The exact participation rate and cap will be set at pricing.

If the index closes outside the knock-out levels, the payout will be par.

The upper knock-out level will be 121% to 123% of the initial index level, and the lower knock-out level will be 77% to 79% of the initial level.

The CDs are expected to price on Aug. 22.

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


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