JPMorgan to price 8% six-month reverse exchangeables linked to Disney

By Jennifer Chiou

New York, March 16 - JPMorgan Chase & Co. plans to price 4% (8% annual equivalent) reverse exchangeable notes due Sept. 24, 2007 linked to The Walt Disney Co., according to an FWP filing with the Securities and Exchange Commission.

Investors will receive par unless Disney stock falls below 90% 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 Disney shares equal to $1,000 divided by the initial share price.

If the stock declines by more than the protection amount of 10% of the initial price, investors will share in any losses.

Interest will be payable monthly.

The notes are expected to price on March 22 and settle on April 5.

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

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