JPMorgan to issue 0% lesser index annual review notes linked to Euro Stoxx 50, Nikkei 225

By E. Janene Geiss

Philadelphia, March 5 - JPMorgan Chase & Co. plans to price 0% lesser index annual review notes due March 24, 2010 linked to the Euro Stoxx 50 and Nikkei 225 indexes, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price March 9 and settle March 14.

The notes will be automatically called at increasing premiums if the level of each index is at least 90% of its initial level on the first review date and greater than or equal to its initial index level on the second and third annual review dates.

For each $1,000 principal amount, the redemption amount will be par plus 15.7% if the notes are called March 19, 2008, par plus 31.4% if called March 19, 2009 and par plus 47.1% if called March 19, 2010.

If the notes are not called, the payout at maturity will par unless one or both of the indexes declines by more than 10%. Investors will lose 1.1111% for every 1% decline in the lesser-performing index beyond 10%.

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

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