JPMorgan to price 0% annual review notes linked to Microsoft

By E. Janene Geiss

Philadelphia, March 10 - JPMorgan Chase & Co. plans to price 0% annual review notes due March 31, 2011 linked to the common stock of Microsoft Corp., according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price March 25 and settle March 31.

The notes will be called at increasing premiums if the stock price is at or above the trigger price on one of three annual review dates. The trigger price will be the stock's initial price.

The redemption amount will be par plus at least 13.5% if the notes are called April 7, 2009, par plus at least 27% if called March 25, 2010 and par plus at least 40.5% if called March 28, 2011. The exact redemption amounts will be determined at pricing.

If the notes are not called, the payout at maturity will be par unless the index declines by more than 25% at any time during the life of the notes, in which case investors will receive a number of Microsoft shares equal to $1,000 divided by the initial share price.

J.P. Morgan Securities will be the agent.

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