JPMorgan to price notes linked to buffered return enhanced indexes

By Angela McDaniels

Tacoma, Wash., March 13 - JPMorgan Chase & Co. plans to price 0% notes due April 4, 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 includes 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. The indexes' 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 initial level of each index will be its closing level on the pricing date multiplied by the exchange rate of its underlying currency relative to the dollar on that day. The final level of each index will be the average of its converted closing levels on the five trading days ending April 1, 2013.

If an index's final level is greater than its initial level, its component return will be double its return, subject to a maximum return of at least 19% for each index. The exact maximum return will be set at pricing. If the index declines by 10% or less, its component return will be zero. If the index declines by more than 10%, its component return will be 1.1111 times the sum of its return plus 10%.

The notes (Cusip: 48125VRR3) are expected to price March 16 and settle March 21.

J.P. Morgan Securities LLC is the agent.

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