JPMorgan plans capped return enhanced autocallables on Bristol-Myers

By Toni Weeks

San Luis Obispo, Calif., Feb. 19 - JPMorgan Chase & Co. plans to price 0% capped autocallable return enhanced notes due March 11, 2015 linked to Bristol-Myers Squibb Co. shares, according to an FWP filing with the Securities and Exchange Commission.

If the stock closes at or above the call level - 106.55% of the initial price - on any of three quarterly call dates, the notes will be called at par plus an annualized call premium of at least 13.1%.

If the notes are not called and the stock finishes above the initial price, the payout at maturity will be par plus two times any gain, subject to a maximum return of at least 13.1%. Investors will be fully exposed to any decline in the share price.

The final stock price will be the average of the closing share prices on the five trading days ending March 6, 2015.

The exact terms will be set at pricing.

The notes (Cusip: 48126N4R5) are expected to price Feb. 21 and settle Feb. 26.

J.P. Morgan Securities LLC is the agent.

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