JPMorgan Chase to price 0% knock-out return enhanced notes linked to iShares MSCI Emerging Markets fund

By E. Janene Geiss

Philadelphia, Oct. 11 - JPMorgan Chase & Co. plans to price knock-out return enhanced notes due Dec. 4, 2008 linked to the iShares MSCI Emerging Markets Index Fund, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price Oct. 26 and settle Oct. 31.

If, during the life of the notes, the index closes at greater than 127.50% of its initial level, the payout at maturity will be a fixed return of 27.50%. The exact knock-out price and the exact knock-out rate will be determined at pricing.

If a knock-out event doesn't occur, the payout at maturity will be par plus double any index gain, subject to a maximum return that will be at least 55% and will be determined at pricing. If a knock-out event doesn't occur and the final level is equal to the initial level, investors will receive par. Investors will be fully exposed to any index decline.

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

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