JPMorgan to price protected notes linked to S&P 500 with averaging

By Toni Weeks

San Luis Obispo, Calif., July 1 – JPMorgan Chase & Co. plans to price 0% notes due September 2016 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The index return will be the average of the index returns on each quarterly observation date during the life of the notes.

If the index return is positive, the payout at maturity will be par plus 25% to 30% of the gain. If the index stays flat or falls, investors will receive par.

The exact terms will be set at pricing.

The notes (Cusip: 06741UFL3) will price and settle in July.

Barclays is the agent.

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