JPMorgan to price 19.5% autocallable reverse exchangeables on U.S. Steel

By Susanna Moon

Chicago, Dec. 1 - JPMorgan Chase & Co. plans to price upside autocallable single observation reverse exchangeable notes due March 16, 2012 linked to United States Steel Corp. shares, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be at least 19.5% per year, payable monthly. The exact percentage will be set at pricing.

The notes will be called at par plus accrued interest if U.S. Steel stock closes above the initial share price on Jan. 11, 2012 or Feb. 13, 2012.

The payout at maturity will be par unless the final share price is less than the initial share price by more than 35%, 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, the cash equivalent.

J.P. Morgan Securities LLC is the agent.

The notes will price on Dec. 13 and settle on Dec. 16.

The Cusip number is 48125VES5.

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