JPMorgan to price lesser index annual review notes linked to Euro Stoxx 50, S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 12 - JPMorgan Chase & Co. plans to price an issue of 0% lesser index annual review notes due March 8, 2011 linked to the Dow Jones Euro Stoxx 50 and S&P 500 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. The call level for each index is 90% of its initial level for the first review date and 100% of its initial level for the second and third review dates.

Investors will receive par plus at least 15.25% if the notes are called on March 3, 2009, par plus at least 30.50% if called on March 3, 2010 and par plus at least 45.75% if called on March 3, 2011. The exact call premiums will be determined at pricing.

If the notes are not called, the payout at maturity will be par unless either index declines 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 Feb. 15 and settle on Feb. 21.

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

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