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

By Jennifer Chiou

New York, Aug. 24 - JPMorgan Chase & Co. plans to price 0% annual review notes due Sept 14, 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 Aug. 31 and settle on Sept. 6.

The notes will be called at increasing premiums if the index level is at or above its initial level on one of three annual review dates. The redemption amount will be par plus at least 10.9% if the notes are called on Sept. 9, 2008, par plus at least 21.8% if called on Sept. 9, 2009 and par plus at least 32.7% if called on Sept. 9, 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%, in which case investors will lose 1.1111% for each 1% decline beyond 10%.

J.P. Morgan Securities will be the agent.

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