JPMorgan plans market participation notes tied to S&P GSCI Crude Oil

By Marisa Wong

Madison, Wis., July 27 - JPMorgan Chase & Co. plans to price market participation quarterly review notes due Aug. 11, 2011 linked to the S&P GSCI Crude Oil Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus a call premium if the index closes above the strike level on any of four review dates.

The call premium will equal the greater of the index return on the applicable review date and a contingent minimum return, subject to a maximum return.

The call premium will be at least 2%, with a cap of at least 4.5% if the notes are called on Nov. 1; at least 4%, with a cap of at least 9% if called on Jan. 31, 2011; at least 6%, with a cap of at least 13.5% if called on May 2, 2011; and at least 8%, with a cap of at least 18% if called on Aug. 8, 2011.

The exact strike level, contingent minimum returns and caps will be determined at pricing.

If the notes are not called and the index falls by no more than 15%, the payout at maturity will be par. Investors will share in losses beyond 15%.

The notes (Cusip: 48124AXQ5) will price on July 30 and settle on Aug. 4.

J.P. Morgan Securities Inc. is the agent.

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