JPMorgan to price buffered return enhanced notes linked to MSCI AC Far East index

By E. Janene Geiss

Philadelphia, Oct. 22 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Nov. 10, 2009 linked to the MSCI AC Far East ex Japan index, according to an FWP filing with the Securities and Exchange Commission.

The MSCI AC (All Country) Far East ex Japan Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the Far East, excluding Japan. As of Oct. 21, the index consisted of China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan and Thailand country indexes.

The payout at maturity will be par plus double any gain on the index, subject to a maximum return of 25%. The exact cap will be set at pricing.

Investors will receive par if the index falls by 10% or less and will lose 1.1111% for every 1% decline beyond 10%.

The final index level will be the arithmetic average of the index's closing levels on the five consecutive trading days ending Nov. 5, 2009.

The notes are expected to price Oct. 23 and settle Oct. 28.

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

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