JPMorgan plans to price 10.5% upside auto callable reverse exchangeables linked to Ford

By Angela McDaniels

Tacoma, Wash., Dec. 1 - JPMorgan Chase & Co. plans to price upside auto callable single observation reverse exchangeable notes due Dec. 15, 2011 linked to the common stock of Ford Motor Co., according to an FWP filing with the Securities and Exchange Commission.

The coupon will be at least 10.5% and will be set at pricing. Interest will be payable monthly.

The notes will be called at par if Ford stock closes above the initial share price on March 10, June 10, 2011, Sept. 12, 2011 or Dec. 12, 2011.

The payout at maturity will be par unless the final share price is less than 80% of the initial share price, in which case the payout will be a number of Ford 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.

The notes (Cusip 48124A4N4) are expected to price Dec. 10 and settle Dec. 15.

J.P. Morgan Securities LLC is the agent.

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