New Issue: JPMorgan sells $422,000 20% bearish notes linked to homebuilding stocks

By Angela McDaniels

Seattle, Oct. 26 - JPMorgan Chase & Co. priced a $422,000 issue of 20% bearish reverse exchangeable notes due Oct. 30, 2007 linked to a basket of homebuilding stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The underlying basket includes equal weights of Centex Corp., D.R. Horton Inc., KB Home, Lennar Corp. and Pulte Homes Inc.

The payout at maturity will be par in cash unless any of the stocks closes at or above 150% of its initial share price during the life of the notes and finishes above its initial level, in which case the payout will be par minus the gain on the best performing stock, with a floor of zero.

Issuer:	JPMorgan Chase & Co.
Issue:	Bearish reverse convertible notes
Underlying stocks:	Centex Corp., D.R. Horton Inc., KB Home, Lennar Corp. and Pulte Homes Inc.
Amount:	$422,000
Maturity:	Oct. 30, 2007
Coupon:	20%, payable monthly
Price:	Par
Payout at maturity:	Par unless any stock rises by more than its upside protection amount during the life of the notes and closes above the initial level, in which case payout will be par minus the gain of the best performing stock
Initial price:	$52.39 for Centex, $23.58 for D.R. Horton, $44.32 for KB Home, $46.34 for Lennar and $31.76 for Pulte Homes
Protection amount:	$26.20 for Centex, $11.79 for D.R. Horton, $22.16 for KB Home, $23.17 for Lennar and $15.88 for Pulte Homes; 50% of initial share price
Pricing date:	Oct. 24
Settlement date:	Oct. 27
Agent:	J. P. Morgan Securities Inc.
Agent fees:	435 basis points

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