JPMorgan plans issue of semiannual review notes linked to S&P 500

By Jennifer Chiou

New York, June 1 - JPMorgan Chase & Co. plans to price an issue of 0% semiannual review notes due June 23, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The pricing date is expected to be on or about June 9 with a June 14 settlement date.

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 at least 8% if called on July 18, 2007, at least 12% if called on Dec. 18, 2007, at least 16% if called on June 18, 2008, at least 20% if called on Dec. 18, 2008 and at least 24% if called on June 18, 2009. The exact redemption amounts will be determined at pricing.

If the notes are not called, investors will receive par unless the index declines by more than 10%. Investors will lose 1.1111% of the principal amount for every 1% decline in the index beyond 10%.

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

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