JPMorgan to price upside auto callable single observation reverse exchangeables tied to Wells Fargo

By Marisa Wong

Madison, Wis., Nov. 2 - JPMorgan Chase & Co. plans to price upside auto callable single observation reverse exchangeable notes due Nov. 16, 2011 linked to the common stock of Wells Fargo & Co., according to an FWP filing with the Securities and Exchange Commission.

The coupon will be at least 10% and will be set at pricing. Interest will be payable monthly.

The notes will be called at par if the price of Wells Fargo stock closes above the initial share price on Feb. 11, May 11, 2011, Aug. 11, 2011 or Nov. 10, 2011.

The payout at maturity will be par unless the final share price is less than 80% of the initial share price, in which case the payout will be a number of Wells Fargo 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: 48124AW45) are expected to price Nov. 10 and settle Nov. 16.

J.P. Morgan Securities LLC is the agent.

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