JPMorgan plans 13% upside auto callable single observation reverse exchangeables on Transocean

By Marisa Wong

Madison, Wis., Aug. 13 - JPMorgan Chase & Co. plans to price upside auto callable single observation reverse exchangeable notes due Aug. 31, 2011 linked to the shares of Transocean Ltd., according to an FWP filing with the Securities and Exchange Commission.

The coupon will be at least 13% and will be set at pricing. Interest will be payable monthly.

The notes will be called at par plus a premium if Transocean stock closes above the initial share price on any of four review dates. The premium will be at least 3.25% if the notes are called Nov. 24, at least 6.5% if called Feb. 23, 2011, at least 9.75% if called May 25, 2011 and at least 13% if called Aug. 26, 2011. The exact premiums will be set at pricing.

The payout at maturity will be par unless the stock price closes below 60% of the initial share price on Aug. 26, 2011, in which case the payout will be a number of Transocean shares equal to $1,000 divided by the initial share price or, at JPMorgan's option, the equivalent value in cash.

The notes (Cusip: 48124AZF7) will price on Aug. 26 and settle on Aug. 31.

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

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