JPMorgan plans quarterly review notes linked to S&P GSCI Brent Crude

By Angela McDaniels

Tacoma, Wash., March 15 - JPMorgan Chase & Co. plans to price 0% quarterly review notes due March 29, 2012 linked to the S&P GSCI Brent Crude Oil Excess Return index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called if the index's closing level on any review date is at least 95% of the strike value. The redemption amount will be par plus an annualized call premium of at least 18.1% that will be set at pricing.

The review dates are June 20, Sept. 19, 2011, Dec. 19, 2011 and March 26, 2012.

The strike value will be set by the calculation agent and may or may not be the regular official weekday closing level of the index on the pricing date.

If the notes are not called, the payout at maturity will be par unless the index declines by more than 25% during the life of the notes, in which case investors will lose 1% for every 1% that the final index level is less than the strike value.

The notes (Cusip: 48125XJT4) are expected to price March 18 and settle March 23.

J.P. Morgan Securities LLC is the agent.

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