JPMorgan plans buffered return enhanced notes linked to Russell 1000 Growth, Russell 1000 Value

By Laura Lutz

Des Moines, Oct. 1 - JPMorgan Chase & Co. plans to price zero-coupon buffered return enhanced notes due Nov. 30, 2012 linked to a basket consisting of the Russell 1000 Growth index with a 70% weight and the Russell 1000 Value index with a 30% weight.

The offering was announced in an FWP filing with the Securities and Exchange Commission.

If the final basket level is at least the initial level, the payout at maturity will be par plus any gain on the basket times an upside leverage factor. The leverage factor will be set at pricing and is expected to be at least 107.5%

If the basket loses up to 5%, the payout will be par. Investors will lose 1% for each 1% that the basket drops beyond 5%.

The notes are expected to price on Nov. 19 and settle on Nov. 26.

J.P. Morgan Securities Inc. will be the agent for the offering.

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