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Published on 8/1/2007 in the Prospect News Structured Products Daily.

New Issue: JPMorgan prices $13.515 million lesser index annual review notes linked to S&P 500, Stoxx 50

By Angela McDaniels

Seattle, Aug. 1 - JPMorgan Chase & Co. priced a $13.515 million issue of 0% lesser index annual review notes due Aug. 11, 2010 linked to the S&P 500 and Dow Jones Euro Stoxx 50 indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at increasing premiums if both index levels are at least 90% of their initial levels on the first review date and at or above their initial index levels on the second or third annual review dates. The redemption amount will be par plus 14.5% if the notes are called on Aug. 6, 2008, par plus 29% if called on Aug. 6, 2009 and par plus 43.5% if called on Aug. 6, 2010.

If the notes are not called, the payout at maturity will be par unless one or both indexes decline by more than 10%. Investors will lose 1.1111% for every 1% decline in the lesser-performing index beyond 10%.

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

Issuer:JPMorgan Chase & Co.
Issue:Lesser index annual review notes
Underlying indexes:S&P 500, Dow Jones Euro Stoxx 50
Amount:$13.515 million
Maturity:Aug. 11, 2010
Coupon:0%
Price:Par
Call:Par plus 14.5% if called on Aug. 6, 2008, par plus 29% if called on Aug. 6, 2009 and par plus 43.5% if called on Aug. 6, 2010; call is triggered if both indexes are at least 90% of their initial levels on the first review date and at or above their initial levels for second or third review dates
Payout at maturity:Par unless one or both indexes declines by more than 10%; 1.1111% loss for every 1% decline in the lesser-performing index beyond 10%
Initial index levels:1,474.57 for S&P 500; 4,239.18 for Dow Jones Euro Stoxx 50
Pricing date:July 30
Settlement date:Aug. 2
Agent:J.P. Morgan Securities Inc.
Fees:2.92%, including 1.46% for selling concessions

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