New Issue: JPMorgan prices $504,000 23% reverse exchangeables linked to Walter Energy

By Angela McDaniels

Tacoma, Wash., May 24 - JPMorgan Chase & Co. priced $504,000 of reverse exchangeable notes due Aug. 25, 2010 linked to the common stock of Walter Energy Inc., according to a 424B2 filing with the Securities and Exchange Commission.

The three-month notes pay 5.75% for an annualized coupon of 23%. Interest is payable monthly.

The payout at maturity will be par unless Walter Energy 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 Walter Energy shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, a cash amount equal to the value of those shares.

J.P. Morgan Securities Inc. is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Reverse exchangeable notes
Underlying stock:	Walter Energy Inc. (NYSE: WLT)
Amount:	$504,000
Maturity:	Aug. 25, 2010
Coupon:	23%, payable monthly
Price:	Par
Payout at maturity:	If Walter Energy stock falls by more than protection amount during life of notes and final share price is less than initial share price, 15.1286 Walter Energy shares; otherwise, par
Initial share price:	$66.10
Protection amount:	$19.83, 30% of initial share price
Pricing date:	May 20
Settlement date:	May 25
Agent:	J.P. Morgan Securities Inc.
Fees:	5.127%, including 3% for selling concessions
Cusip:	48124ARR0

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