JPMorgan plans notes linked to three buffered return enhanced indexes

By Susanna Moon

Chicago, Feb. 8 - JPMorgan Chase & Co. plans to price 0% notes due Feb. 27, 2013 linked to a weighted basket of three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 55% weight, the Topix index with a 23% weight and the FTSE 100 index with a 22% weight. Their underlying currencies are the euro, the Japanese yen and the British pound sterling, respectively.

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

The adjusted closing level for each basket index on any day is equal to the index's closing level multiplied by the exchange rate of the underlying currency that day.

The final level for each basket index will equal the average of the adjusted closing levels on the five trading days ending Feb. 22, 2013.

If an index's final level is greater than the initial level, its component return will be double the gain, up to a maximum return of at least 19.5% for each index. The exact maximum returns will be set at pricing.

If an index's return is greater than or equal to negative 10% but less than zero, its component return will be zero.

If the index's return is less than negative 10%, its component return will be 1.1111 times the sum of the index return plus 10%.

The notes will price on Feb. 10 and settle on Feb. 15.

J.P. Morgan Securities LLC is the agent.

The Cusip number is 48125VMU1.

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