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JPMorgan to price autocallable return enhanced notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., Jan. 5 - JPMorgan Chase & Co. plans to price 0% autocallable return enhanced notes due Jan. 25, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The notes will be automatically called if the index closes at or above 104.5% of its initial level on April 12, July 12, 2011 or Oct. 12, 2011. Investors will receive par plus a call premium of at least 8.685%.
If the notes are not called and the final index level is greater than the initial index level, the payout at maturity will be par plus 1.93 times the index return, subject to a maximum return of at least 8.685%. Investors will be exposed to any index decline.
The exact call premium and maximum return will be set at pricing.
The notes (Cusip: 48124A6Y8) are expected to price Jan. 7 and settle Jan. 12.
J.P. Morgan Securities LLC is the agent.
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