JPMorgan to price 15.5% reverse exchangeables linked to Ford

By E. Janene Geiss

Philadelphia, Sept. 26 - JPMorgan Chase & Co. plans to price an issue of reverse exchangeable notes due Jan. 11, 2008 linked to the common stock of Ford Motor Co., according to an FWP filing with the Securities and Exchange Commission.

The three-month notes will pay 3.875% for an annualized rate of 15.5%. Interest will be payable monthly.

The payout at maturity will be par unless Ford stock falls below the knock-in price - 75% of the initial share price - during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Ford shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, the equivalent cash value.

The notes will price on Oct. 5 and settle on Oct. 11.

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

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