JPMorgan plans buffered return enhanced notes linked to Asian indexes

By Marisa Wong

Madison, Wis., Oct. 26 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Nov. 15, 2012 linked to a basket of indexes and their related currencies, each converted into U.S. dollars, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Hang Seng China Enterprises index with a 21% weight, the Hang Seng index with a 25% weight, the Korea Stock Price Index 200 with a 25% weight, the MSCI Singapore index with a 9% weight and the MSCI Taiwan index with a 20% weight.

The related currencies are the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Korea Stock Price, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore.

The basket return will equal the sum of the weighted component returns for the basket indexes. A basket component's level on any day will equal the underlying index level multiplied by the exchange rate of the related currency on that day. Each component's final level will equal the average of the underlying index closing levels on the five trading days ending Nov. 9, 2012.

If the basket return is positive, the payout at maturity will be par plus double the basket return, subject to a maximum return of 15.6%. Investors will receive par if the basket return is between zero and negative 10% and will lose 1.1111% for every 1% that it is less than negative 10%.

The notes (Cusip: 48125X7M2) will price on Oct. 28 and settle on Nov. 2.

J.P. Morgan Securities LLC is the agent.

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