JPMorgan plans capped notes linked to buffered return enhanced indexes

By Susanna Moon

Chicago, Jan. 16 - JPMorgan Chase & Co. plans to price 0% capped notes due Feb. 5, 2014 linked to a weighted basket of three buffered return enhanced components, according to a 424B2 filing 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. The respective currencies are the euro, the British pound sterling and the Japanese yen.

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.

If an index's final level is greater than its initial level, its component return will be double its return, up to a maximum return of 14.2% for each index. 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%.

J.P. Morgan Securities LLC is the agent.

The notes will price on Jan. 18 and settle on Jan. 24.

The Cusip number is 48126DTS8.

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