JPMorgan plans autocallable return enhanced notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Nov. 29 - JPMorgan Chase & Co. plans to price 0% autocallable return enhanced notes due Dec. 19, 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 at par plus a call premium if the index closes at or above 103.78% of the initial level on March 2, 2012, June 4, 2012 or Sept. 4, 2012. The call premium will be at least $113.40 per $1,000 principal amount of notes.

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 three times the index return, subject to a maximum return of at least 11.34%. Investors will be fully exposed to the decline if the final index level is less than the initial level.

The exact call premium and maximum return will be set at pricing.

The notes (Cusip: 48125VDW7) are expected to price Dec. 2 and settle Dec. 7.

J.P. Morgan Securities LLC is the agent.

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