JPMorgan plans autocallable return enhanced notes linked to Euro Stoxx

By Angela McDaniels

Tacoma, Wash., Aug. 8 - JPMorgan Chase & Co. plans to price 0% capped autocallable return enhanced notes due Aug. 28, 2013 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

If the index closes at or above the call level, 105% of the initial index level, on any review date, the notes will be automatically called at par plus a call premium. The review dates are every other Monday from Sept. 10, 2012 through Aug. 12, 2013. The call premium is expected to be at least $65 for each $1,000 principal amount of notes.

If the final index level is greater than the initial index level, the payout at maturity will be par plus 1.3 times the index return, subject to a maximum return of at least 6.5%. Otherwise, investors will be fully exposed to the decline in the index.

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

The notes are expected to price Aug. 10 and settle Aug. 15.

J.P. Morgan Securities LLC is the agent.

The Cusip number is 48125V2Q2.

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