JPMorgan to price 0% annual review notes linked to Toll Brothers

By E. Janene Geiss

Philadelphia, Feb. 4 - JPMorgan Chase & Co. plans to price 0% annual review notes due Feb. 25, 2011 linked to the common stock of Toll Brothers, Inc., according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price Feb. 22 and settle Feb. 27.

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 22.6% if the notes are called on March 6, 2009, par plus at least 45.2% if called Feb. 22, 2010 and par plus at least 67.8% if called on Feb. 22, 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 Toll Brothers shares equal to $1,000 divided by the initial share price.

J.P. Morgan Securities will be the agent.

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