New Issue: JPMorgan prices $4.73 million annual review notes linked to Nikkei

By Jennifer Chiou

New York, Sept. 19 - JPMorgan Chase & Co. priced a $4.73 million issue of 0% annual review notes due Sept. 30, 2009 linked to the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the level of the index is at or above the initial index level on any of three annual review dates. For each $1,000 principal amount, the redemption amount will be 12.25% if called on Sept. 25, 2007, 24.5% if called on Sept. 25, 2008 and 36.75% if called on Sept. 25, 2009.

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%.

Issuer:	JPMorgan Chase & Co.
Issue:	Annual review senior unsecured notes
Underlying index:	Nikkei 225
Amount:	$4.73 million
Maturity:	Sept. 30, 2009
Coupon:	0%
Price:	Par
Call:	Automatically called at increasing premiums if the index is at or above the initial index level on the annual review dates; redemption amount will be 12.25% if called on Sept. 25, 2007, 24.5% if called on Sept. 25, 2008 and 36.75% if called on Sept. 25, 2009
Payout at maturity:	If the notes are not called, investors will receive par unless the index declines by more than 15%. Investors will lose 1.7651% of the principal amount for every 1% decline in the index beyond 15%
Initial index level:	16,080.46
Pricing date:	Sept. 15
Settlement date:	Sept. 20
Agent:	J.P. Morgan Securities Inc.

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