JPMorgan plans buffered return enhanced notes tied to SPDR KBW Bank ETF

By Angela McDaniels

Tacoma, Wash., Aug. 3 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Feb. 10, 2011 linked to the SPDR KBW Bank exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 1.5 times any increase in the ETF's share price, subject to a maximum return of at least 12.525% that will be set at pricing. Investors will receive par if the share price declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

The ETF seeks to replicate the performance of the KBW Bank index, which is a float-adjusted modified-market capitalization-weighted index that seeks to reflect the performance of publicly traded companies that do business as banks or thrifts. The index components are selected to provide representation of the industry's sub-sectors.

The notes (Cusip: 48124AYE1) are expected to price Aug. 6 and settle Aug. 11.

J.P. Morgan Securities Inc. is the agent.

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