JPMorgan plans two-year buffered return enhanced notes tied to S&P 500

By Toni Weeks

San Diego, Feb. 1 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Feb. 28, 2013 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus 1.5 times the index return, subject to a maximum return of 13% to 17%. The exact cap will be set at pricing.

Investors will receive par for any declines in the index up to 10% and will be exposed to any decreases in the level of the S&P 500 beyond 10%.

The notes (Cusip: 48125XCW4) are expected to price on Feb. 23 and settle on Feb. 28.

J.P. Morgan Securities LLC will act as agent.

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