JPMorgan to price return enhanced notes linked to stock basket

By E. Janene Geiss

Philadelphia, July 15 - JPMorgan Chase & Co. plans to price 0% return enhanced notes due Aug. 5, 2010 linked to a basket of 10 stocks, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights of 3M Co., Caterpillar Inc., Corning Inc., Dover Corp., Eaton Corp., Flextronics International Ltd., Rockwell Collins, Inc., Textron Inc., Tyco International Ltd., United Technologies Corp.

The payout at maturity will be par plus triple any gain on the basket, up to a maximum return of at least 41.25%. The exact cap will be set at pricing.

Investors are fully exposed to any basket decline.

The final basket level will be the arithmetic average of the basket's closing levels on the five consecutive trading days ending Aug. 2, 2010.

The notes are expected to price July 18 and settle July 23.

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

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