JPMorgan plans 23% auto-callable reverse exchangeables linked to Research In Motion

By Angela McDaniels

Tacoma, Wash., Feb. 11 - JPMorgan Chase & Co. plans to price 23% annualized upside auto-callable reverse exchangeable notes due Aug. 27, 2008 linked to the common stock of Research In Motion Ltd., 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 Research In Motion stock on May 27, 2008 is greater than the initial share price.

If the notes are not called, the payout at maturity will be par unless Research In Motion 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 Research In Motion shares equal to $1,000 divided by the initial share price. The protection price is expected to be at least 40% and will be determined at pricing.

The notes will price on Feb. 22 and settle on Feb. 27.

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

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