JPMorgan plans 10% upside autocallable reverse exchangeables on Valero

By Marisa Wong

Madison, Wis., April 4 - JPMorgan Chase & Co. plans to price upside autocallable single observation reverse exchangeable notes due April 19, 2013 linked to the common stock of Valero Energy Corp., according to an FWP filing with the Securities and Exchange Commission.

The coupon is expected to be 10% and will be determined on the pricing date. Interest is payable monthly.

The notes will be called at par plus accrued interest if Valero stock closes above the initial share price on any of three quarterly call dates.

The payout at maturity will be par in cash, unless the final price of Valero stock falls by more than 30% from the initial share price, in which case investors will receive a number of Valero 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: 48125VUW8) are expected to price on April 16 and settle on April 19.

J.P. Morgan Securities LLC will be the agent.

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