JPM plans 11.5% upside auto callable reverse exchangeables on U.S. Steel

By Jennifer Chiou

New York, Aug. 23 - JPMorgan Chase & Co. plans to price upside auto callable single observation reverse exchangeable notes due Aug. 31, 2011 linked to the common stock of U.S. Steel Corp., according to a term sheet.

The coupon is expected to be at least 11.5% and will be set at pricing. Interest is payable monthly.

The notes will be automatically called at par if U.S. Steel stock closes above the initial share price on Nov. 24, 2010, Feb. 23, 2011, May 25, 2011 or Aug. 26, 2011.

If the notes are not called, the payout at maturity will be par unless the final price of U.S. Steel stock is less than 60% of the initial share price, in which case the payout will be a number of U.S. Steel shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, an equivalent amount in cash.

The notes (Cusip 48124AZY6) are expected to price on Aug. 26 and settle on Aug. 31.

J.P. Morgan Securities Inc. is the agent. Incapital LLC is the distributor.

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