JPMorgan plans capped buffered return enhanced notes on Brent crude

By Marisa Wong

Madison, Wis., May 14 - JPMorgan Chase & Co. plans to price 0% capped buffered return enhanced notes due Sept. 21, 2012 linked to a Brent crude oil futures contract, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus double any gain in the futures contract price, up to a maximum return of at least 10%. The exact cap will be set at pricing.

Investors will receive par if the futures contract price falls by up to 15% and will share fully in losses if the price falls by more than 15%.

J.P. Morgan Securities LLC is the underwriter.

The notes (Cusip: 48125VUT5) will price on May 18 settle on May 23.

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