JPMorgan to sell two-year buffered notes on S&P GSCI Precious Metals

By Susanna Moon

Chicago, June 21 - JPMorgan Chase & Co. plans to price 0% buffered notes due July 13, 2012 based on the performance of the S&P GSCI Precious Metals Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus any index gain, up to a maximum return of 22.25% to 27.25%. The exact cap will be set at pricing.

Investors will receive par if the index falls by up to 15% and will lose 1% for each 1% decline beyond 15%.

The notes are expected to price on July 9 and settle on July 14.

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

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