JPMorgan plans trigger autocallable optimization notes on Rio Tinto

By Toni Weeks

San Diego, Feb. 18 - JPMorgan Chase & Co. plans to price 0% trigger autocallable optimization securities due March 1, 2012 linked to the American Depositary Receipts of Rio Tinto plc, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call return of 21.25% to 25.25% if the Rio Tinto ADR price closes at or above the initial ADR price on any of 12 monthly observation dates. The exact call return rate will be set at pricing.

The payout at maturity will be par if the ADR price finishes at or above the trigger price, 75% of the initial ADR price.

Otherwise, the payout will be par plus the ADR return with exposure to any losses.

The notes (Cusip: 46634X344) are expected to price on Feb. 23 and settle on Feb. 28.

UBS Financial Services Inc. and J.P. Morgan Securities LLC are the underwriters.

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