JPMorgan plans contingent absolute return autocallables on Goldman

By Susanna Moon

Chicago, July 25 - JPMorgan Chase & Co. plans to price 0% contingent absolute return autocallable optimization securities due Aug. 2, 2013 linked to Goldman Sachs Group, Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par of $10 plus an annualized call premium of 8% to 11% if Goldman stock closes at or above the initial share price on any quarterly observation date. The exact percentage will be set at pricing.

If the notes are not called and the stock finishes at or above the 70% trigger level, the payout at maturity will be par plus the absolute value of the stock return.

Otherwise, investors will be fully exposed to any losses.

UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.

The notes will price on July 27 and settle on July 31.

The Cusip number is 46637G397.

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