JPMorgan to price 19% autocallable reverse exchangeables linked to Freeport-McMoRan

By E. Janene Geiss

Philadelphia, Feb. 20 - JPMorgan Chase & Co. plans to price 19% autocallable reverse exchangeable notes due Aug. 28, 2009 linked to the common stock of Freeport-McMoRan Copper & Gold Inc., according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable monthly.

The notes will be called at par plus accrued interest if the closing price of Freeport-McMoRan stock on May 22, 2008 is greater than the initial share price.

If the notes are not called, the payout at maturity will be par unless Freeport-McMoRan stock falls by more than the protection amount during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Freeport-McMoRan shares equal to $1,000 divided by the initial share price. The protection price is expected to be at least 35% and will be determined at pricing.

The notes will price Feb. 22 and settle Feb. 29.

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

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