JPMorgan plans capped notes linked to buffered return enhanced indexes

By Susanna Moon

Chicago, Oct. 3 - JPMorgan Chase & Co. plans to price 0% capped notes due Oct. 23, 2013 linked to a weighted basket of three buffered return enhanced components, according to an FWP with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 56% weight, the FTSE 100 index with a 23% weight and the Topix index with a 21% weight. Their underlying currencies are the euro, British pound sterling and the Japanese yen, respectively.

The payout at maturity will be par plus the basket return, up to a maximum return of 17.9%.

If an index finishes above its initial level, its component return will be double its return, up to a maximum return of 17.9%.

If the index falls by 10% or less, its component return will be zero.

Otherwise, its component return will be 1.11111 times the sum of its return plus 10%.

J.P. Morgan Securities LLC as the agent.

The notes will price on Oct. 5 and settle on Oct. 11.

The Cusip number is 48126DCE7.

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