JPMorgan to price 17.5% reverse exchangeables linked to Macy's

By Angela McDaniels

Tacoma, Wash., June 9 - JPMorgan Chase & Co. plans to price reverse exchangeable notes due Sept. 30, 2008 linked to the common stock of Macy's Inc., according to an FWP filing with the Securities and Exchange Commission.

The three-month notes will pay 4.375% for an annualized coupon of 17.5%. Interest will be payable monthly.

The payout at maturity will be par unless Macy's stock falls by more than 25% during the life of the notes and the final share price is less than initial share price, in which case the payout will be a number of Macy's shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, an equivalent amount in cash.

The notes are expected to price on June 25 and settle on June 30.

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

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