JPMorgan plans notes on SPDR S&P 500 ETF vs. iShares Treasury fund

By Toni Weeks

San Diego, April 26 - JPMorgan Chase & Co. plans to price 0% outperformance jump securities due Nov. 29, 2012 based on the performance of the SPDR S&P 500 exchange-traded fund trust relative to the iShares Barclays 20-year Treasury bond fund, according to an FWP with the Securities and Exchange Commission.

If the return of the SPDR S&P 500 exchange-traded fund shares is equal to or less than that of the iShares Barclays treasuries shares, the payout at maturity will be par plus the share return, subject to a maximum return of 11% to 15%. The exact cap will be set at pricing.

Investors will be fully exposed to losses.

The notes (Cusip: 46634X245) are expected to price May 24 and settle three business days later.

J.P. Morgan Securities LLC is the agent.

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