JPMorgan plans 0% monthly review notes tied to S&P GSCI Excess Return

By Angela McDaniels

Tacoma, Wash., Sept. 8 - JPMorgan Chase & Co. plans to price 0% monthly review notes due March 17, 2011 linked to the S&P GSCI Excess Return index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a call premium of at least 20% per year if the index closes at or above its initial level on any of the review dates, which will fall on the 10th calendar day of each month beginning Oct. 10. The exact call premium will be set at pricing.

If the notes are not called, the payout at maturity will be par plus the index return.

The index return will be determined using the index's closing level on March 10, 2011, which is the final review date. This means that if the notes are not called, the index return will be negative and investors will experience a loss.

The notes (Cusip: 48124AF85) are expected to price Sept. 10 and settle Sept. 15.

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

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