JPMorgan plans buffered callable optimization notes on SPDR S&P 500

By Marisa Wong

Madison, Wis., Sept. 20 - JPMorgan Chase & Co. plans to price buffered autocallable optimization securities due Oct. 3, 2013 linked to the SPDR S&P 500 ETF trust, according to an FWP filing with the Securities and Exchange Commission.

If the ETF trust closes at or above its initial level on any quarterly observation date beginning March 26, 2013, the notes will be called at par plus an annualized call return of 7% to 8%. The exact call return will be set at pricing.

If the notes are not called and the trust share price falls by up to 5%, the payout at maturity will be par.

Otherwise, investors will lose 1% for each 1% decline beyond the 5% buffer.

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

The notes will price on Sept. 26 and settle on Sept. 28.

The Cusip number is 46637G264.

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