JPMorgan to price notes linked to buffered return enhanced indexes

By Jennifer Chiou

New York, Sept. 20 - JPMorgan Chase & Co. plans to price 0% notes due Oct. 11, 2012 linked to three buffered return enhanced components, each converted into dollars, according to an FWP with the Securities and Exchange Commission.

The components are the Euro Stoxx 50 index with a 53% weight, the FTSE 100 index with a 24% weight and the Topix index with a 23% weight.

The initial level of each index will be its closing level on the pricing date converted into dollars. The final level will be the average of its closing levels on the five trading days ending on Oct. 5, 2012, converted into dollars on each day at the exchange rate then in effect.

The payout at maturity will be par plus the basket return, which will be the sum of the weighted component returns of the basket components.

If an index finishes above its initial level, its component return will be double the underlying gain, up to a maximum return of at least 31.64% for Euro Stoxx, at least 19.84% for the FTSE and at least 4.6% for the Topix. The exact caps will be set at pricing.

If an index falls by up to 10%, its component return will be zero. If an index falls by more than 10%, its component return will be 0% minus 1.1111% for every 1% decline beyond 10%.

The notes (Cusip: 48125X3N4) are expected to price on Sept. 23 and settle on Sept. 28.

J.P. Morgan Securities LLC is the agent.

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