JPMorgan plans quarterly review notes on S&P GSCI Brent crude oil

By Toni Weeks

San Diego, July 12 - JPMorgan Chase & Co. plans to price 0% quarterly review notes due July 26, 2012 linked to the S&P GSCI Brent Crude Oil Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized 14% call premium if the index closes at or above 95% of the strike value on Oct. 17, Jan. 17, 2012, April 17, 2012 or July 23, 2012.

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

If the notes are not called, the payout at maturity will be par if the final index level is at least 90% of the strike value. Otherwise, investors will lose 1% for every 1% that the index declines beyond the strike value.

The notes (Cusip: 48125XWQ5) are expected to price July 15 and settle July 20.

J.P. Morgan Securities LLC is the agent.

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