JPMorgan plans upside autocallable reverse exchangeables on LDK Solar

By Toni Weeks

San Diego, March 11 - JPMorgan Chase & Co. plans to price upside autocallable single observation reverse exchangeable notes due March 26, 2012 linked to the American Depositary Receipts of LDK Solar Co., Inc., according to an FWP with the Securities and Exchange Commission.

The one-year notes carry an annualized coupon of at least 19.15%. The exact coupon will be set at pricing. Interest is payable monthly.

If the final price of LDK Solar ADRs is greater than or equal to the initial price on any of four quarterly call settlement dates, the notes will be called at par.

If the notes are not called and the final ADR price is at least 60% of the initial price, the payout at maturity will be par. Otherwise, the payout will be a number of LDK Solar ADRs equal to $1,000 divided by the initial ADR price or, at JPMorgan's option, a cash amount equal to the value of those ADRs.

The notes (Cusip: 48125XJM9) will price on March 22 and settle on March 25.

J.P. Morgan Securities LLC is the agent.

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