JPMorgan plans issue of 0% annual review notes linked to Nikkei 225

By Jennifer Chiou

New York, Nov. 6 - JPMorgan Chase & Co. plans to price an issue of 0% annual review notes due Nov. 25, 2009 linked to the Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.

The pricing date is expected to be on Nov. 10 with settlement on Nov. 15.

The notes will be automatically called at increasing premiums if the index level shows a positive return on any of three annual review dates.

For each $1,000 principal amount, the redemption amount will be at least 7.5% if called on Nov. 20, 2007, at least 15.5% if called on Nov. 20, 2008 and at least 23.25% if called on Nov. 20, 2009. The exact redemption amounts will be determined at pricing.

If the notes are not called, investors will receive par unless the index declines by more than 15%. Investors will lose 1.1765% of the principal amount for every 1% decline in the index beyond 15%.

J.P. Morgan Securities Inc. will be agent for the offering.

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