JPMorgan plans dual directional notes linked to three commodities, three commodity indexes

By E. Janene Geiss

Philadelphia, Dec. 31 - JPMorgan Chase & Co. plans to price an offering of zero-coupon principal-protected dual directional notes due April 30, 2012 linked to a basket of commodities and commodity indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of WTI crude oil with a 35% weight, primary aluminum with a 15% weight, copper grade A with a 15% weight, the S&P GSCI Precious Metals Index Excess Return with a 15% weight, the S&P GSCI Livestock Index Excess Return with a 10% weight and the S&P GSCI Agriculture Index Excess Return with a 10% weight.

If the final basket level is greater than the initial level, the payout at maturity will be par plus 125% to 135% of the absolute basket return. The exact upside participation rate will be determined at pricing.

If the final basket level is equal to or less than the initial level, the return will be par plus the absolute return on the basket times a downside participation rate that will be at least 30%. The exact downside rate will be determined at pricing.

The notes are expected to price Jan. 28 and settle Jan. 31.

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

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