JPMorgan plans buffered dual directional return enhanced notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., May 6 - JPMorgan Chase & Co. plans to price 0% buffered dual directional return enhanced notes due May 28, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the final index return is positive, the payout at maturity will be par plus 200% of the return. In this case, the payout will be subject to a maximum return that is expected to be at least 10.5%.

If the final index return is between zero and negative 10%, the payout will be par plus the absolute value of the return.

If the final index return is below negative 10%, the payout will be par minus 1.1111% for each 1% decline beyond 10%.

The notes are expected to price on May 9 and settle on May 14.

J.P. Morgan Securities Inc. will be the agent.

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