JPMorgan to sell 0% notes linked to buffered return enhanced basket

By Marisa Wong

Madison, Wis., June 20 - JPMorgan Chase & Co. plans to price 0% notes due July 31, 2012 linked to three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

The components are the Russell 3000 index with a 60% weight, the iShares MSCI EAFE index fund with a 25% weight and the iShares MSCI Emerging Markets index fund with a 15% weight.

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

If an index or fund finishes above its initial level, its component return will be 1.5 times the underlying return, up to a maximum return. If an index falls by up to 10%, its component return will be zero. If an index falls by more than 10%, its component return will be 0% minus 1.1111% for every 1% decline beyond 10%. The final level of each basket component will equal the average of the closing levels on July 20, 2012, July 23, 2012, July 24, 2012, July 25, 2012 and July 26, 2012.

The cap will be 12.5% to 13.5% for the Russell 3000, 20.5% to 21.5% for the iShares MSCI EAFE and 18.3% to 19.3% for the iShares MSCI Emerging Markets. The maximum payout at maturity will be $1,153.70 to $1,163.70 per $1,000 principal amount of notes. The exact caps will be set at pricing.

The notes (Cusip: 48125XVR4) are expected to price June 27 and settle June 30.

J.P. Morgan Securities LLC is the agent.

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