JPMorgan to price autocallable buffered return enhanced notes linked to four commodities

By Angela McDaniels

Tacoma, Wash., March 30 - JPMorgan Chase & Co. plans to price 0% autocallable buffered return enhanced notes due April 13, 2012 linked to basket of commodities, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of Brent crude oil futures contracts, grade A copper, corn futures contracts and palladium.

If the basket's closing level on Oct. 3, 2011 is greater than or equal to the initial basket level, the notes will be called and investors will receive par plus a call premium of at least 6.5%.

If the notes are not called, the payout at maturity will be par plus at least 1.25 times the basket return if the return is positive, subject to a maximum return of at least 25%.

If the basket declines by 20% or less, the payout will be par.

If the basket declines by more than 20%, investors will be fully exposed to the decline from the initial level.

The exact premium, upside leverage factor and maximum return will be set at pricing.

The notes (Cusip: 48125XKW5) are expected to price April 1 and settle April 6.

J.P. Morgan Securities LLC is the agent.

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