JPMorgan plans to price six-month review notes linked to palladium

By Angela McDaniels

Tacoma, Wash., March 1 - JPMorgan Chase & Co. plans to price 0% review notes due Sept. 9, 2011 linked to the price of palladium, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called if the price of palladium on any review date is greater than or equal to the starting price of palladium. The redemption amount will be par plus a call premium of at least 6.75%. The exact call premium will be set at pricing.

The review dates are each day from and including June 6 to and including Sept. 6, 2011.

If the notes are not called, the payout at maturity will be par if the final price of palladium is at least 88% of the starting palladium price. If the price of palladium falls by more than 12%, investors will receive par plus the palladium return and will be fully exposed to the decline from the initial price.

The notes (Cusip: 48125XGP5) are expected to price March 4 and settle March 9.

J.P. Morgan Securities LLC is the agent.

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