JPMorgan plans 10.5%-12.5% autocallable reverse exchangeables on U.S. Steel

By Toni Weeks

San Luis Obispo, Calif., June 22 – JPMorgan Chase & Co. plans to price autocallable reverse exchangeable notes due July 7, 2016 linked to United States Steel Corp. shares, according to an FWP with the Securities and Exchange Commission.

The coupon will be 10.5% to 12.5%, with interest payable monthly. The exact rate will be set at pricing.

The notes will be called at par if U.S. Steel stock closes at or above the initial share price on any quarterly review date other than the final date.

A trigger event occurs if the stock closes below the trigger price, 55% of the initial price, on any day during the life of the notes.

If the notes are not called and (i) the final price is greater than or equal to the initial price or (ii) a trigger event has not occurred, the payout at maturity will be par plus the final coupon. If the final price is less than the initial price and a trigger event has occurred, the payout will be a number of U.S. Steel shares equal to $1,000 divided by the initial share price or, at the issuer’s option, the cash value of those shares.

The notes (Cusip: 46625HMC1) are expected to price June 30 and settle July 6.

J.P. Morgan Securities LLC is the agent.

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