JPMorgan plans 11% upside autocallable reverse exchangeables linked to United States Steel

By Angela McDaniels

Tacoma, Wash., Jan. 19 - JPMorgan Chase & Co. plans to price 11% upside autocallable single observation reverse exchangeable notes due Jan. 31, 2012 linked to the common stock of United States Steel Corp., according to an FWP filing with the Securities and Exchange Commission.

The coupon will be at least 11% and will be set at pricing. Interest will be payable monthly.

The notes will be called at par if United States Steel stock closes at or above the initial share price on April 27, July 27, 2011, Oct. 26, 2011 or Jan. 26, 2012.

The payout at maturity will be par unless the final share price is less than 75% of the initial share price, in which case the payout will be a number of United States Steel 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: 48125XBR6) are expected to price Jan. 26 and settle Jan. 31.

J.P. Morgan Securities LLC is the agent.

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