JPMorgan plans 0% one-year notes on three buffered components

By Toni Weeks

San Diego, Feb. 24 - JPMorgan Chase & Co. plans to price 0% notes due March 14, 2012 based on a basket of three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

J.P. Morgan Securities LLC is the agent.

The underlying indexes are the Euro Stoxx 50 index with a 51% weight, the FTSE 100 index with a 25% weight and the Topix index with a 24% weight.

The payout at maturity will be par plus the basket return.

If an index's underlying return is positive, its component return will be twice the underlying return, up to a cap.

If an index's underlying return is less than or equal to zero but not less than negative 10%, its component return will be zero.

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 will be at least 16% for the Euro Stoxx 50, at least 13.25% for the FTSE 100 and at least 13.08% for the Topix. The exact caps will be set at pricing.

The maximum payout at maturity based on the above caps is $1,146.12 per $1,000 principal amount of notes.

The notes (Cusip: 48125XFK7) are expected to price on Feb. 25 and settle on March 2.

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