JPMorgan plans to price one-year review notes linked to S&P 500

By Marisa Wong

Madison, Wis., Feb. 27 - JPMorgan Chase & Co. plans to price 0% review notes due March 20, 2013 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized call premium of at least 11% if the index closes at or above the initial index level on any of four quarterly review dates. The exact call premium will be set at pricing.

If the notes are not called, the payout at maturity will be par if the final index level is at least 90% of the initial level. Otherwise, investors will lose 1.1111% for every 1% that the index declines beyond 10%.

The notes (Cusip: 48125VPK0) are expected to price March 2 and settle March 7.

J.P. Morgan Securities LLC is the agent.

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