JPMorgan plans issue of semiannual review notes linked to index basket

By Jennifer Chiou

New York, Jan. 8 - JPMorgan Chase & Co. plans to price an issue of 0% semiannual review notes due Jan. 21, 2009 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Amex Hong Kong 30 index, the FTSE/Xinhua China 25 index, the Korea Stock Price index 200, the MSCI Taiwan index and the MSCI Singapore index.

The pricing date is expected to be on Jan. 9 with a Jan. 12 settlement date.

The notes will be automatically called at increasing premiums if the basket shows a positive return on the annual review dates. For each $1,000 principal amount, the redemption amount will be at least 10.15% if called on Jan. 15, 2008, at least 15.225% if called on July 15, 2008 and at least 20.3% if called on Jan. 15, 2009. The exact redemption amounts will be determined at pricing.

If the notes are not called, investors will receive par unless the basket declines by more than 10%. Investors will lose 1.1111% of the principal amount for every 1% decline in the basket beyond 10%.

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

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