JPMorgan to price 0% annual review notes linked to Euro Stoxx 50

By Jennifer Chiou

New York, May 7 - JPMorgan Chase & Co. plans to price 0% annual review notes due May 24, 2010 linked to the Dow Jones Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will price on May 11 and settle on May 16.

The notes will be automatically called at increasing premiums if the index level is at or above the initial index level on one of three annual review dates.

For each $1,000 principal amount, the redemption amount will be par plus at least 10.85% if the notes are called on May 19, 2008, par plus at least 21.7% if called on May 19, 2009 and par plus at least 32.55% if called on May 19, 2010. The exact redemption amounts will be determined at pricing.

If the notes are not called, the payout at maturity will par unless the index declines by more than 10%. Investors will lose 1.1111% for every 1% decline in the index beyond 10%.

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

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