JPMorgan to price 0% annual review notes linked to Nikkei 225

By E. Janene Geiss

Philadelphia, March 5 - JPMorgan Chase & Co. plans to price an offering of 0% annual review notes due March 24, 2010 linked to the Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will price March 9 and settle March 14.

The notes will be automatically called at increasing premiums if the index level is at or above the initial index level on one of three annual review dates.

For each $1,000 principal amount, the redemption amount will be par plus at least 12.95% if the notes are called March 19, 2008, par plus at least 25.9% if called March 19, 2009 and par plus at least 38.85% if called March 19, 2010. The exact redemption amounts will be determined at pricing.

If the notes are not called, the payout at maturity will par unless the index declines by more than 10%. Investors will lose 1.1111% for every 1% decline in the index beyond 10%.

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

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