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Published on 3/1/2011 in the Prospect News Structured Products Daily.

JPMorgan plans buffered return notes linked to iShares MSCI EAFE

By Toni Weeks

San Diego, March 1 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Sept. 28, 2012 linked to the iShares MSCI EAFE index fund, according to an FWP filing with the Securities and Exchange Commission.

If the fund's final share price is great than its initial share price, the payout at maturity will be par plus 1.5 times the fund gain, subject to a maximum total return of 18% to 22%. The exact fixed payment will be set at pricing.

Investors will receive par if the share price falls by up to 10% and will be exposed to declines beyond 10%.

The notes (Cusip 48125XGR1) are expected to price on March 28 and settle on March 31.

J.P. Morgan Securities LLC is the agent.


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