New Issue: JPMorgan prices $4.858 million 0% annual review notes linked to Nikkei 225

By Jennifer Chiou

New York, May 22 - JPMorgan Chase & Co. priced a $4.858 million issue of 0% annual review notes due June 2, 2009 linked to the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the index shows a positive return on the annual review dates. For each $1,000 principal amount, the redemption amount will be 12.5% if called on May 28, 2007, 25% if called on May 28, 2008 and 37.5% if called on May 28, 2009.

If the notes are not called, investors will receive par unless the index declines by more than 15%. Investors will lose 1.1765% of the principal amount for every 1% decline in the index beyond 15%.

Issuer:	JPMorgan Chase & Co.
Issue:	Annual review notes
Underlying index:	Nikkei 225
Amount:	$4.858 million
Maturity:	June 2, 2009
Coupon:	0%
Price:	Par
Call:	Automatically called at increasing premiums if the index shows a positive return on the annual review dates; redemption amount will be 12.5% if called on May 28, 2007, 25% if called on May 28, 2008, 37.5% if called on May 28, 2009
Payout at maturity:	If the notes are not called, investors will receive par unless the index declines by more than 15%. Investors will lose 1.1765% of the principal amount for every 1% decline in the index beyond 15%
Agent:	JPMorgan
Pricing date:	May 18
Settlement date:	May 25

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