JPMorgan plans notes linked to buffered return enhanced index, funds

By Susanna Moon

Chicago, Aug. 2 - JPMorgan Chase & Co. plans to price 0% notes due Sept. 9, 2013 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 Russell 3000 index with a 80% weight, the iShares MSCI EAFE index fund with a 15% weight and the iShares MSCI Emerging Markets index fund with a 5% 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 indexes.

The component return will be 1.5 times any gain, up to a maximum return of 14.75% for the Russell index, 22.1% for the EAFE fund and 20.35% for the EM fund.

If the index or fund falls by up to 10%, its component return will be zero. Otherwise, its component return will be 1.1111 times the sum of its return plus 10%.

The maximum payout at maturity is $1,161.33 per $1,000 principal amount of notes.

J.P. Morgan Securities LLC is the agent.

The notes will price on Aug. 3 and settle on Aug. 8.

The Cusip number is 48125VW97.

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