JPMorgan plans to price 17.5% upside autocallable reverse exchangeables linked to LDK Solar

By Toni Weeks

San Diego, May 12 - JPMorgan Chase & Co. plans to price 17.5% upside autocallable single observation reverse exchangeable notes due May 31, 2012 linked to the American Depositary Shares of LDK Solar Co., Ltd., according to an FWP filing with the Securities and Exchange Commission.

Interest is payable monthly.

The notes will be called at par plus accrued interest if LDK Solar stock closes above the initial share price on any of four quarterly call dates beginning Aug. 26.

The payout at maturity will be par unless the final share price has dropped more than 30% from the initial share price, in which case the payout will be a number of LDK Solar 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: 48125XRD0) are expected to price May 25 and settle May 31.

J.P. Morgan Securities LLC is the agent.

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