JPMorgan to price autocallable optimization securities linked to Market Vectors Gold Miners ETF

By E. Janene Geiss

Philadelphia, Dec. 31 - JPMorgan Chase & Co. plans to price 0% autocallable optimization securities with contingent protection due on or about July 31, 2011 linked to the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If the ETF's shares close at or above the initial share price on any of six quarterly observation dates, the notes will be automatically called and investors will receive par of $10 plus an annualized call premium of 23% to 27%. The exact call premium will be set at pricing.

The observation dates are April 26, 2010, July 26, 2010, Oct. 25, 2010, Jan. 26, 2011, April 25, 2011 and July 25, 2011.

If the notes are not called and the final share price is greater than or equal to 70% of the initial price, the payout at maturity will be par. If the final share price is less than 70% of the initial price, the payout will be par plus the fund return.

The notes are expected to price on Jan. 26 and settle on Jan. 29.

UBS Financial Services Inc. and J.P. Morgan Securities Inc. are the agents.

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