JPMorgan to price buffered return enhanced notes linked to five Asian indexes converted into dollars

By Angela McDaniels

Tacoma, Wash., Sept. 1 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Sept. 26, 2011 linked to a basket of indexes, each converted into U.S. dollars, according to an FWP 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 24% weight, the MSCI Taiwan index with a 21% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with an 8% 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 at least 15% that will be set at pricing. 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%.

The notes (Cusip: 48124AC62) are expected to price Sept. 3 and settle Sept. 9.

J.P. Morgan Securities Inc. is the agent.

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