JPM plans notes tied to buffered return enhanced indexes, currencies

By Toni Weeks

San Diego, Nov. 1 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Nov. 21, 2012 linked to three buffered return enhanced components and their related currencies, according to an FWP with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 22% weight and the Topix index with a 23% weight.

The related currencies are the euro for the Euro Stoxx, the pound for the FTSE 100 and the yen for the Topix.

The basket return will equal the sum of the weighted component returns for the three basket components.

For each index, the underlying return will be the return of the index multiplied by the return of its related currency relative to the dollar.

If an index's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is flat or negative but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.

The cap is 25.5% for the Euro Stoxx, 14.26% for the FTSE 100 and 6% for the Topix. The maximum payout at maturity is $1,185.40 per $1,000 principal amount of notes.

The notes (Cusip: 48125VAW0) are expected to price on Nov. 4 and settle on Nov. 9.

J.P. Morgan Securities LLC will act as agent.

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