JPMorgan plans to price dual directional knock-out notes linked to S&P 500, Russell 2000

By Susanna Moon

Chicago, Feb. 1 - JPMorgan Chase & Co. plans to price zero-coupon principal-protected dual directional knock-out notes due Jan. 29, 2010 linked to the S&P 500 and Russell 2000 indexes, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus a fixed payment of at least 25% unless either index ever closes more than 20% above or below its initial level.

Investors will receive a return of at least 1.75%, or $17.50, per $1,000 note. The exact amount will be set at pricing.

The notes are expected to price on Feb. 26 and settle on Feb. 29.

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

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