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Published on 2/5/2009 in the Prospect News Structured Products Daily.

New Issue: JPMorgan sells $25.5 million semiannual review notes linked to S&P 500

By Jennifer Chiou

New York, Feb. 5 - JPMorgan Chase & Co. priced $25.5 million of 0% semiannual review notes due Feb. 16, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the index is above its call level on any of four review dates. The call level is 90% of the initial level on the first and second review dates and 100% of the initial level on the next two review dates.

The redemption amount will be par plus 8.5% if the notes are called on Aug. 11, 2009, par plus 17% if called on Feb. 17, 2010, par plus 25.5% if called on Aug. 10, 2010 and par plus 34% if called on Feb. 11, 2011.

If the notes are not called, investors will receive par at maturity unless the index declines by more than 10%. Investors will lose 1.1111% for every 1% drop beyond 10%.

J.P. Morgan Securities Inc. is agent.

Issuer:JPMorgan Chase & Co.
Issue:Semiannual review notes
Underlying index:S&P 500
Amount:$25.5 million
Maturity:Feb. 16, 2011
Coupon:0%
Price:Par
Payout at maturity:Par unless the index falls by more than 10%; loss of 1.1111% for every 1% decline beyond 10%
Call:At par plus 8.5% if called Aug. 11, 2009, par plus 17% if called Feb. 17, 2010, par plus 25.5% if called Aug. 10, 2010 and par plus 34% if called Feb. 11, 2011; notes will be called if the index is more than 90% of initial level on first or second review dates or more than 100% of initial level on final review dates
Initial level:838.51
Pricing date:Feb. 3
Settlement date:Feb. 6
Agent:J.P. Morgan Securities Inc.
Fees:2%, including 1% for selling concessions

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