JPMorgan plans absolute return notes on SPDR S&P Homebuilders ETF

By Marisa Wong

Madison, Wis., May 24 - JPMorgan Chase & Co. plans to price 0% contingent absolute return autocallable optimization securities due June 3, 2013 linked to the SPDR S&P Homebuilders exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call return of at least 16.5% if the fund closes at or above the initial share price on any quarterly observation date. The exact call return will be set at pricing.

If the notes are not called and the final fund share price is greater than or equal to the trigger price, 75% of the initial share price, the payout at maturity will be par plus the absolute value of the fund return. Otherwise, investors will be fully exposed to the decline in the fund share price.

The notes (Cusip: 46637G553) are expected to price May 25 and settle May 31.

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

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