JPMorgan to price 8.5% upside auto callable reverse exchangeables linked to Bank of America

By Angela McDaniels

Tacoma, Wash., March 30 - JPMorgan Chase & Co. plans to price upside auto callable reverse exchangeable notes due April 29, 2011 linked to the common stock of Bank of America Corp., according to an FWP filing with the Securities and Exchange Commission.

The coupon will be set at pricing and will be at least 8.5%. Interest will be payable monthly.

The notes will be automatically called at par if Bank of America stock closes above the initial share price on July 28, 2010, Oct. 27, 2010, Jan. 26, 2011 or April 26, 2011.

If the notes are not called, the payout at maturity will be par unless the final share price is less than 80% of the initial share price, in which case investors will receive a number of Bank of America shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, an equivalent amount in cash.

The notes are expected to price April 27 and settle April 30.

J.P. Morgan Securities Inc. is the agent.

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