JPMorgan plans 0% return notes due 2013 tied to Strategic Volatility

By Marisa Wong

Madison, Wis., Jan. 12 - JPMorgan Chase & Co. plans to price 0% return notes due April 22, 2013 linked to the J.P. Morgan Strategic Volatility index, according to an FWP filing with the Securities and Exchange Commission.

The index aims to replicate the returns from combining a long position and a contingent short position in futures contracts on the CBOE Volatility index, or VIX index.

The index level incorporates the daily deduction of (a) an adjustment factor of 0.75% per annum and (b) a daily rebalancing adjustment amount equal to the sum of (1) a rebalancing adjustment factor of between 0.20% and 0.50% per day and (2) an additional amount equal to the rebalancing adjustment factor of between 0.20% and 0.50% per day.

The daily rebalancing adjustment amount is intended to approximate the "slippage costs" that would be experienced by a professional investor seeking to replicate the hypothetical portfolio.

The payout at maturity or at redemption will be par plus the index return with exposure to any losses.

The notes are putable on a daily basis with a fee of 0.5%.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48125VJN1) will price on Jan. 17 and settle on Jan. 20.

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