JPMorgan plans buffered enhanced notes on copper, oil and corn futures

By Toni Weeks

San Diego, May 17 - JPMorgan Chase & Co. plans to price autocallable buffered return enhanced notes due June 1, 2012 linked to a basket of two futures contracts and one commodity, according to an FWP filing with the Securities and Exchange Commission.

The equally weighted basket components are the Brent crude oil futures contracts, copper and corn futures contracts.

If the closing level of the basket is at or above the initial level on Nov. 21, 2011, the notes will be called at par plus a call premium of at least $60.00 per $1,000 note.

If the notes have not been called and the ending basket level is greater than the initial level, investors will receive at least 1.5 times any gain in the basket at maturity, capped at a maximum total return of at least 30%. The exact call premium, upside leverage factor and maximum total return will be set at pricing.

Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

The notes (Cusip: 48125XRP3) are expected to price May 20 and settle May 25.

J.P. Morgan Securities LLC is the agent.

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