JPMorgan to price 11% upside autocallable reverse exchangeable notes linked to Bank of America

By Toni Weeks

San Diego, Jan. 4 - JPMorgan Chase & Co. plans to price 11% annualized upside autocallable single observation reverse exchangeable notes due July 19, 2012 linked to the common stock of Bank of America Corp., according to an FWP filing with the Securities and Exchange Commission.

Interest is payable monthly.

The notes will be automatically called at par on April 16, 2012 if the closing price is greater than the initial share price.

The payout at maturity will be par in cash, unless the final price of Bank of America shares falls by more than 35% from 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, a cash amount equal to the value of those shares.

The exact terms will be determined at pricing.

The notes (Cusip: 48125VHM5) will price on Jan. 13 and settle on Jan. 19.

J.P. Morgan Securities LLC is the agent.

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