JPMorgan to price 9.75% upside auto callable reverse exchangeables linked to Ford stock

By Jennifer Chiou

New York, April 30 - JPMorgan Chase & Co. plans to price 9.75% upside auto callable reverse exchangeable notes due May 27, 2011 linked to the common stock of Ford Motor Co., according to an FWP filing with the Securities and Exchange Commission.

The exact coupon will be set at pricing and will be at least 9.75%. Interest will be payable monthly.

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

If the notes are not called, the payout at maturity will be par unless the final share price is less than 70% of the initial share price, in which case investors will receive a number of Ford shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, an equivalent amount in cash.

The notes are expected to price on May 25 and settle on May 28.

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

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