JPMorgan to price 0% buffered return enhanced notes linked to index basket

By E. Janene Geiss

Philadelphia, Nov. 6 - JPMorgan Chase & Co. will price an offering of 0% buffered return enhanced senior unsecured notes due Dec. 5, 2007 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.

The underlying basket includes the Amex Hong Kong 30 with an 18% weight, the FTSE/Xinhau China 25 with a 17.4% weight, Korea Stock Price with a 32.10% weight, the MSCI Taiwan with a 23.4% weight and the MSCI Singapore with a 9.10% weight.

The basket level will be averaged on Nov. 26, Nov. 27, Nov. 28., Nov. 29 and Nov. 30, 2007 to calculate the closing basket level.

At maturity, noteholders will receive par plus twice the greater of any positive return on the basket up to a maximum return, which will be determined at pricing and no less than 13%. If the basket loses up to 10%, investors will receive par. For declines beyond 10%, investors will lose 1.1111% for each 1% decline in the basket.

J.P. Morgan expects to price the notes on or about Nov. 10 and settle on Nov. 15.

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

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