JPMorgan plans least-performing index knock-out annual review notes linked to three indexes

By Laura Lutz

Des Moines, Oct. 5 - JPMorgan Chase & Co. plans to price least-performing index knock-out annual review notes due Oct. 17, 2012 linked to the S&P 500 index, the Dow Jones Euro Stoxx 50 index and the Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at increasing premiums if the closing levels for all three indexes are above their respective initial levels on any of five annual review dates.

The call premium will be 19% if the notes are called on Oct. 20, 2008, 38% on Oct. 16, 2009, 57% on Oct. 15, 2010, 76% on Oct. 14, 2011 and 95% on Oct. 12, 2012.

If the notes are not called, the payout at maturity will be based on the performance of the least-performing index.

If the least-performing index has declined by more than 50% from its initial level, the payout will be par times the performance of that index. Otherwise, the payout will be par.

The notes are expected to price on Oct. 12 and settle on Oct. 17.

J.P. Morgan Securities Inc. is the underwriter.

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