JPMorgan plans 11.5% upside autocallables linked to Bank of America

By Jennifer Chiou

New York, July 20 - JPMorgan Chase & Co. plans to price upside autocallable reverse exchangeable notes due July 27, 2012 linked to Bank of America Corp. shares, according to an FWP with the Securities and Exchange Commission.

The notes will carry a coupon of at least 11.5%, payable monthly. The exact coupon will be set at pricing.

The notes will be called at par plus accrued interest if Bank of America stock closes above the initial share price on any quarterly call date beginning on Oct. 26, 2011.

The payout at maturity will be par unless the final share price has dropped more than 20% from the initial share price, in which case the payout will be a number of Bank of America 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: 48125XZD1) are expected to price on July 27 and settle on July 29.

J.P. Morgan Securities LLC is the agent.

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