New Issue: JPMorgan prices $1.48 million 15% reverse exchangeables linked to CVRD

By Angela McDaniels

Tacoma, Wash., Feb. 28 - JPMorgan Chase & Co. priced $1.48 million of reverse exchangeable notes due May 30, 2008 linked to the American Depositary Shares of Companhia Vale do Rio Doce (CVRD), according to a 424B2 filing with the Securities and Exchange Commission.

The three-month notes will pay 3.75% for an annualized rate of 15%. Interest is payable monthly.

The payout at maturity will be par unless CVRD ADSs fall by more than 30% during the life of the notes and finish below the initial ADS price, in which case the payout will be a number of CVRD ADSs equal to $1,000 divided by the initial ADS price or, at JPMorgan's option, the equivalent cash value.

J.P. Morgan Securities Inc. is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Reverse exchangeable notes
Underlying ADSs:	Companhia Vale do Rio Doce (NYSE: RIO)
Amount:	$1,484,000
Maturity:	May 30, 2008
Coupon:	15%, payable monthly
Price:	Par
Payout at maturity:	If CVRD ADSs fall by more than the protection amount during the life of the notes and the final ADS price is less than the initial ADS price, 27.6167 CVRD ADSs or the equivalent cash value; otherwise, par
Initial ADS price:	$36.21
Protection amount:	$10.863, 30% of initial ADS price
Pricing date:	Feb. 26
Settlement date:	Feb. 29
Agent:	J.P. Morgan Securities Inc.
Fees:	2.507%, including 1.878% for selling concessions

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