JPMorgan plans to sell two-year buffered PLUS linked to S&P 500 index

By Susanna Moon

Chicago, July 27 - JPMorgan Chase & Co. plans to price 0% buffered Performance Leveraged Upside Securities due Aug. 29, 2012 based on the performance of the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus double any gain in the index, up to a maximum of $12.10 to $12.50 per note. The exact cap will be set at pricing.

Investors will receive par if the index falls by up to 10% and will lose 1% for every 1% decline beyond 10%.

The notes (Cusip 46634E155) are expected to price on Aug. 25 and settle three business days later.

J.P. Morgan Securities Inc. is the agent.

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