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

By Laura Lutz

Des Moines, Aug. 31 - JPMorgan Chase & Co. plans to price an issue of 0% least-performing index annual review notes due Sept. 15, 2010 linked to three indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The underlying indexes will be the S&P 500 index, the Dow Jones Euro Stoxx 50 index and the Nikkei 225 index.

The notes will be automatically called at increasing premiums if the level of each index is at least 85% of its initial level on the first two annual review dates and at least its initial level on the third annual review date.

For each $1,000 principal amount, the redemption amount will be par plus 17.55% if the notes are called on Sept. 4, 2008, par plus 35.1% if called on Sept. 4, 2009 and par plus 52.65% if called on Sept. 7, 2010.

If the notes are not called, the payout at maturity will be par unless any index declines by more than 15%. Investors will lose 1.1765% for every 1% decline in the lesser-performing index beyond 15%.

The notes are expected to price on Sept. 4 and settle on Sept. 7.

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

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