JPMorgan plans return notes linked to Long Equity Dynamic Overlay 80

By Marisa Wong

Madison, Wis., June 2 - JPMorgan Chase & Co. plans to price 0% return notes due July 31, 2015 linked to the J.P. Morgan U.S. Long Equity Dynamic Overlay 80 Index (Series 1), according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the index return, which could be positive or negative.

The index is designed to provide a synthetic long position in the S&P 500 and limited downside protection against adverse movements of the S&P 500 through a synthetic collar strategy as an overlay to the synthetic long position in the S&P 500. The index is subject to three types of fees and deductions: a daily index fee, a call deduction and put deduction and a delta deduction.

J.P. Morgan Securities LLC is the agent.

The notes will price on June 25 and settle on June 30.

The Cusip number is 48127DKS6.

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