JPMorgan plans semiannual review notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 4 - JPMorgan Chase & Co. plans to price 0% semiannual review notes due March 1, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called if the index's closing level is at least 90% of the initial index level on any of three review dates. The redemption amount will be par plus at least 10% if the notes are called on March 1, 2010, par plus at least 15% if called on Aug. 24, 2010 and par plus at least 20% if called on Feb. 24, 2011. The exact call premiums will be set at pricing.

If the notes are not called, then the payout at maturity will be par if the final index level is at least 90% of the initial level. Otherwise, investors will lose 1% for every 1% that the index declines beyond 10%.

The notes are expected to price Feb. 24 and settle Feb. 27.

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

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