JPMorgan to price 0% annual review notes linked to S&P 500

By Jennifer Chiou

New York, June 4 - JPMorgan Chase & Co. plans to price 0% annual review notes due June 21, 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price on June 8 and settle on June 13.

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 7.9% if the notes are called on June 16, 2008, par plus at least 15.8% if called on June 16, 2009 and par plus at least 23.7% if called on June 16, 2010. The exact redemption amounts will be determined at pricing.

If the notes are not called, the payout at maturity will be 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. is the agent.

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