JPMorgan plans to price return notes linked to basket of 22 stocks

By Angela McDaniels

Tacoma, Wash., Oct. 8 - JPMorgan Chase & Co. plans to price 0% return notes due Oct. 29, 2014 linked to a basket of 22 common stocks, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the following stocks with a 6% weight each: Pfizer Inc., Merck & Co., Inc., Bristol-Myers Squibb Co., Zoetis Inc., Covidien plc, Perrigo Co., Mylan Inc., Valeant Pharmaceuticals International, Inc., Actavis, Inc. and Aetna Inc. It also includes the following stocks with a 3.33% weight each: Endo Health Solutions Inc., Allergan, Inc., HCA Holdings, Inc., Amarin Corp. plc, InterMune, Inc., Gilead Sciences, Inc., Ariad Pharmaceuticals, Inc., Orexigen Therapeutics, Inc., Medivation, Inc., Vertex Pharmaceuticals Inc., Rite Aid Corp. and DaVita HealthCare Partners Inc.

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 98.6%. Because of the basket adjustment factor, investors will lose some or all of their principal if the basket return is less than 1.41988%.

The final basket level will be the average of the basket's closing levels on the five trading days ending Oct. 29, 2014.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Oct. 11 and settle Oct. 16.

The Cusip number is 48126NXD4.

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