JPMorgan plans contingent absolute return notes linked to Whole Foods

By Toni Weeks

San Diego, June 5 - JPMorgan Chase & Co. plans to price 0% contingent absolute return autocallable optimization securities due June 14, 2013 linked to Whole Foods Market, Inc. shares, according to an FWP filing with the Securities and Exchange Commission.

If the stock closes at or above the initial share price on any quarterly observation date, the notes automatically will be called at par plus an annualized call return of 11.5% to 15.5% that will be set at pricing.

If the notes are not called and the stock closes at or above the trigger price - 70% of the initial share price - the payout at maturity will be par plus the absolute value of the stock return.

If the final share price is less than the trigger price, investors will be fully exposed to the stock decline.

The notes (Cusip: 46637G447) are expected to price June 7 and settle June 12.

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

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