JPMorgan plans to price return notes linked to basket of 15 stocks

By Angela McDaniels

Tacoma, Wash., Oct. 1 - JPMorgan Chase & Co. plans to price 0% return notes due Oct. 22, 2014 linked to an equally weighted basket of 15 common stocks, according to an FWP filing with the Securities and Exchange Commission.

The underlying stocks are Bank of America Corp., Costco Wholesale Corp., D.R. Horton, Inc., Home Depot, Inc., KB Home, KeyCorp, Lowe's Cos., Inc., Lennar Corp., PulteGroup, Inc., Owens Corning, Stanley Black & Decker, Inc., SunTrust Banks, Inc., Target Corp., USG Corp. and Wells Fargo & Co.

The payout at maturity will be (a) $1,000 multiplied by (b) one plus the basket return multiplied by (b) a basket adjustment factor of 98.75%. Because of the basket adjustment factor, investors will lose some or all of their principal if the basket return is less than 1.26582%.

The final basket level will be the average of the basket's closing levels on the five trading days ending Oct. 17, 2014.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Oct. 4 and settle Oct. 9.

The Cusip number is 48126NWL7.

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