New Issue: JPMorgan prices $8.255 million annual review notes linked to S&P 500

By Jennifer Chiou

New York, July 25 - JPMorgan Chase & Co. priced an $8.255 million issue of 0% annual review notes due Aug. 6, 2009 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the index is at least 90% of the initial amount on the first review date or shows a positive return on the two subsequent annual review dates. For each $1,000 principal amount, the redemption amount will be 9% if called on Aug. 3, 2007, 18% if called on Aug. 4, 2008 and 27% if called on Aug. 3, 2009.

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%.

Issuer:	JPMorgan Chase & Co.
Issue:	Annual review notes
Underlying index:	S&P 500
Amount:	$8.255 million
Maturity:	Aug. 6, 2009
Coupon:	0%
Price:	Par
Call:	Automatically called at increasing premiums if the index is at least 90% of the initial level on the first review date or shows a positive return on the subsequent annual review dates; redemption amount will be 9% if called on Aug. 3, 2007, 18% if called on Aug. 4, 2008 and 27% if called on Aug. 3, 2009
Payout at maturity:	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%
Initial index level:	1,240.29
Agent:	JPMorgan
Pricing date:	July 21
Settlement date:	July 26

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