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

By Jennifer Chiou

New York, Sept. 13 - JPMorgan Chase & Co. plans to price 0% review notes due March 15, 2012 linked to the S&P GSCI Brent Crude Oil Index Excess Return, according to an FWP with the Securities and Exchange Commission.

The notes will be automatically called at par plus a premium if the index closes at or above the initial index level on any day from and including Dec. 15 to March 12, 2012. The call premium will be at least 6.6% and will be set at pricing.

If the notes are not called, the payout at maturity will be par if the final index level is at least 80% of the initial level. Otherwise, investors will lose 1% for every 1% that the index declines from the initial level.

The notes (Cusip: 48125XR40) will price on Sept. 16 and settle on Sept. 21.

J.P. Morgan Securities LLC is the agent.

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