JPMorgan plans outperformance jump notes tied to equity, Treasury ETFs

By Angela McDaniels

Tacoma, Wash., Dec. 27 - JPMorgan Chase & Co. plans to price 0% outperformance jump securities due July 30, 2012 linked to the performance of the SPDR S&P 500 ETF trust relative to the iShares Barclays 20+ Year Treasury Bond fund, according to an FWP filing with the Securities and Exchange Commission.

If the return of the SPDR trust is greater than the return of the iShares fund, the payout at maturity will par of $10 plus a fixed payment that is expected to be 14% to 18% and will be set at pricing.

If the SPDR trust return is less than or equal to the iShares fund return, the payout will be par minus the amount by which the iShares fund return exceeds the SPDR trust return.

The notes (Cusip 46634X591) are expected to price Jan. 25 and settle Jan. 28.

J.P. Morgan Securities LLC is the agent. It will use its commission to allow selling concessions to Morgan Stanley Smith Barney LLC.

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