JPMorgan plans dual directional knock-out notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 28 - JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due March 20, 2013 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index's closing level is less than the initial index level by more than 19.6% on any day during the life of the notes.

If the final index level is greater than the initial index level, the payout at maturity will be par plus the lesser of the maximum upside return and the index return. The maximum upside return is expected to be at least 15% and will be set at pricing.

If the final index level is equal to the initial index level, the payout will be par.

If the final index level is less than the initial index level and a knock-out event has not occurred, the payout will be par plus the absolute value of the index return.

If the final index level is less than the initial index level and a knock-out event has occurred, investors will be fully exposed to the index level decline.

The notes (Cusip: 48125VPJ3) are expected to price March 2 and settle March 7.

J.P. Morgan Securities LLC is the agent.

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