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Published on 5/23/2007 in the Prospect News Structured Products Daily.

New Issue: JPMorgan Chase prices $1 million 11% reverse exchangeables linked to Alaska Air

By Angela McDaniels

Seattle, May 23 - JPMorgan Chase & Co. priced a $1 million issue of 11% reverse exchangeable notes due May 23, 2008 linked to the common stock of Alaska Air Group, Inc., according to a 424B2 filing with the Securities and Exchange Commission.

Interest is payable monthly.

The payout at maturity will be par unless Alaska Air stock falls by more than 30% during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Alaska Air shares equal to $1,000 divided by the initial share 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 stock:Alaska Air Group, Inc.
Amount:$1 million
Maturity:May 23, 2008
Coupon:11%, payable monthly
Price:Par
Payout at maturity:If Alaska Air stock falls by more than the protection amount during the life of the notes and finishes below the initial share price, 34.4266 Alaska Air shares or the equivalent cash value; otherwise, par
Initial share price:$29.20
Protection amount:$8.76, 30% of initial share price
Pricing date:May 22
Settlement date:May 25
Agent:J.P. Morgan Securities Inc.
Fees:2.9%, including 2.5% for selling concessions

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