New Issue: JPMorgan sells $2.801 million 11.25% reverse exchangeables linked to Valero

By Laura Lutz

Des Moines, Nov. 22 - JPMorgan Chase & Co. priced $2.801 million of 11.25% reverse exchangeable notes due Nov. 27, 2007 linked to Valero Energy Corp. stock, according to a 424B2 filing with the Securities and Exchange Commission.

Payout at maturity will be par in cash if Valero stock stays at or above the protection price, 80% of the initial price of $53.06, between Nov. 21, 2006 and Nov. 21, 2007, and finishes at or above the initial price. Otherwise, the payout will be in Valero stock, with the number of shares equal to $1,000 divided by the initial share price.

Issuer:	JPMorgan Chase & Co.
Issue:	Reverse exchangeable notes
Underlying stock:	Valero Energy Corp.
Amount:	$2.801 million
Maturity:	Nov. 27, 2007
Coupon:	11.25%, payable monthly
Price:	Par
Payout at maturity:	Par in cash if Valero stock stays at or above the protection price of $42.45 and finishes at or above the initial price; otherwise shares of Valero stock equal to $1,000 divided by the initial price
Initial price:	$53.06
Protection price:	$42.45, 80% of $53.06
Pricing date:	Nov. 21
Settlement date:	Nov. 27
Agent:	J.P. Morgan Securities Inc.
Agent fee:	4.15%, includes 3.08% selling concession

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