JPMorgan to price 10% upside auto callable reverse exchangeables linked to Wells Fargo

By Angela McDaniels

Tacoma, Wash., May 27 - JPMorgan Chase & Co. plans to price upside auto callable single observation reverse exchangeable notes due June 30, 2011 linked to the common stock of Wells Fargo & Co., according to an FWP filing with the Securities and Exchange Commission.

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

The notes will be automatically called at par if Wells Fargo stock closes above the initial share price on Sept. 27, 2010, Dec. 28, 2010, March 28, 2011 or June 27, 2011.

If the notes are not called, the payout at maturity will be par unless the final price of Wells Fargo stock is less than 50% 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, an equivalent amount in cash.

The notes are expected to price June 25 and settle June 30.

J.P. Morgan Securities Inc. is the agent.

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