JPMorgan to price 10% upside auto callable single observation reverse exchangeables linked to Ford

By Angela McDaniels

Tacoma, Wash., Sept. 20 - JPMorgan Chase & Co. plans to price upside auto callable single observation reverse exchangeable notes due Sept. 30, 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% 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 Dec. 28, March 28, 2011, June 27, 2011 or Sept. 27, 2011.

The payout at maturity will be par unless the final share price is less than 8% 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 48124AJ40) are expected to price Sept. 27 and settle Sept. 30.

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

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