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

By Jennifer Chiou

New York, Sept. 5 - JPMorgan Chase & Co. plans to price an issue of 0% annual review notes due Sept. 23, 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 or about Sept. 8 with settlement on Sept. 13.

The notes will be automatically called at increasing premiums if the index level is at least 90% of the initial index level on the first annual review date or shows a positive return on the second or third annual review dates.

For each $1,000 principal amount, the redemption amount will be at least 10% if called on Sept. 18, 2007, at least 20% if called on Sept. 18, 2008 and at least 30% if called on Sept. 18, 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 10%. Investors will lose 1.1111% of the principal amount for every 1% decline in the index beyond 10%.

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

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