JPMorgan plans to price quarterly review notes due 2010 linked to S&P GSCI crude index

By E. Janene Geiss

Philadelphia, Aug. 4 - JPMorgan Chase & Co. plans to price 0% quarterly review notes due Aug. 19, 2010 linked to the S&P GSCI Crude Oil Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the index closes at or above its call level of 100% of the initial level on each review date.

Investors will receive the greater of the contingent minimum return and the index return, subject to a maximum return.

The redemption amount will be par plus a contingent minimum of 2.75% and a maximum return of 7% if the notes are called on Nov. 16, 2009, par plus a minimum of 5.5% to a maximum of 14% if called on Feb. 16, 2010, par plus a minimum of 8.25% and a maximum of 21% if called on May 17, 2010 and par plus a minimum of 11% and a maximum of 28% if called on Aug. 16, 2010. The exact minimum and maximum returns will be set at pricing.

If the notes are not called, investors will receive par at maturity unless the index falls by more than 15%. Investors will lose 1% for every 1% drop beyond 15%.

The notes are expected to price on Aug. 7 and settle on Aug. 12.

J.P. Morgan Securities Inc. is agent.

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