JPMorgan to price lesser index annual review notes linked to S&P 500, Nikkei 225

By Susanna Moon

Chicago, Jan. 8 - JPMorgan Chase & Co. plans to price 0% lesser index annual review notes due Jan. 25, 2011 linked to the S&P 500 and Nikkei 225 indexes, according to an FWP filing with the Securities and Exchange Commission.

If each index is at or above its call level on a review date, the notes will be called and investors will receive par plus at least 16.8% if the notes are called on Jan. 20, 2009, par plus at least 33.6% if called on Jan. 20, 2010 and par plus at least 50.4% if called on Jan. 20, 2011. The exact call premiums will be determined at pricing.

The call level for each index will be 85% of its initial level for the first review date and 100% of its initial level for the second and third review dates.

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%.

The notes are expected to price on Jan. 11 and settle on Jan. 16.

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

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