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Published on 12/14/2010 in the Prospect News Structured Products Daily.

New Issue: JPMorgan prices $6.63 million buffered return enhanced notes linked to five Asian indexes

By Angela McDaniels

Tacoma, Wash., Dec. 14 - JPMorgan Chase & Co. priced $6.63 million of 0% buffered return enhanced notes due Dec. 29, 2011 linked to a basket of Asian indexes, each converted into U.S. dollars, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the Hang Seng China Enterprises index with a 33% weight, the Korea Stock Price Index 200 with a 25% weight, the MSCI Taiwan index with a 19% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with a 9% weight.

The initial level and final level of each index will be converted into U.S. dollars from the applicable currency at the then-current exchange rate. The applicable currency is the Hong Kong dollar for the two Hang Seng indexes, the Korean won for the Kospi, the Singapore dollar for the MSCI Singapore and the New Taiwan dollar for the MSCI Taiwan.

The payout at maturity will be par plus double any basket gain, subject to a maximum return of 13.5%. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

J.P. Morgan Securities LLC is the agent.

Issuer:JPMorgan Chase & Co.
Issue:Buffered return enhanced notes
Underlying indexes:Hang Seng China Enterprises (33% weight), Korea Stock Price 200 (25% weight), MSCI Taiwan (19% weight), Hang Seng (14% weight) and MSCI Singapore (9% weight), each converted into U.S. dollars
Amount:$6,631,000
Maturity:Dec. 29, 2011
Coupon:0%
Price:Par
Payout at maturity:Par plus double any basket gain, up to maximum return of 13.5%; par if basket declines by 10% or less; 1.1111% loss for every 1% basket decline beyond 10%
Initial converted index levels:1,629.09216 for Hang Seng Enterprises; 2,980.37163 for Hang Seng; 0.22927 for Kospi 200; 286.99283 for MSCI Singapore; 10.33195 for MSCI Taiwan
Pricing date:Dec. 10
Settlement date:Dec. 15
Agent:J.P. Morgan Securities LLC
Fees:1%
Cusip:48124A4W4

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