JPMorgan to sell 10% callable reverse exchangeables on Halliburton

By Marisa Wong

Madison, Wis., Nov. 9 - JPMorgan Chase & Co. plans to price upside autocallable single observation reverse exchangeable notes due Nov. 16, 2012 linked to the common stock of Halliburton 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 plus accrued interest if Halliburton stock closes above the initial share price on any of four quarterly call dates. The call dates are Feb. 17, May 17, 2012, Aug. 17, 2012 and Nov. 14, 2012.

The payout at maturity will be par unless the final share price is less than the initial share price by more than 47%, in which case the payout will be a number of Halliburton 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: 48125VCW8) are expected to price on Nov. 14 and settle on Nov. 17.

J.P. Morgan Securities LLC is the agent.

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