JPMorgan to price 10% upside autocallable reverse exchangeables linked to Bank of America

By Toni Weeks

San Diego, June 16 - JPMorgan Chase & Co. plans to price upside autocallable single observation reverse exchangeable notes due June 29, 2012 linked to Bank of America Corp. shares, according to an FWP filing with the Securities and Exchange Commission.

The notes will carry a coupon of at least 10%, payable monthly. The exact coupon will be set at pricing.

The notes will be called at par plus accrued interest if Bank of America stock closes above the initial share price on a quarterly call date beginning Sept. 27.

The payout at maturity will be par unless the final share price has dropped more than 20% from the initial share price, in which case the payout will be a number of Bank of America 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: 48125XVP8) are expected to price June 28 and settle June 30.

J.P. Morgan Securities LLC is the agent.

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