JPMorgan plans one-year 9.25% upside autocallable reverse exchangeables linked to Schlumberger

By Susanna Moon

Chicago, July 5 - JPMorgan Chase & Co. plans to price upside autocallable reverse exchangeable notes due July 20, 2012 linked to Schlumberger NV shares, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be at least 9.25%, payable monthly. The exact coupon will be set at pricing.

The notes will be called at par plus accrued interest if Schlumberger stock closes above the initial share price on any of four quarterly call dates. The call dates are Oct. 17, Jan. 17, 2012, April 17, 2012 and July 17, 2012.

The payout at maturity will be par unless the stock finishes below the initial share price and dips by more than 20% during the life of the notes, in which case the payout will be a number of Schlumberger shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, the cash equivalent.

J.P. Morgan Securities LLC is the agent.

The notes will price on July 15 and settle on July 20.

The Cusip is 48125XXS0.

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