JPMorgan plans to price review notes linked to S&P 500 index

By Toni Weeks

San Diego, March 20 - JPMorgan Chase & Co. plans to price 0% review notes due April 10, 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 9.9% if the index closes at or above the initial level on any of the quarterly review dates. The exact call premium will be set at pricing.

If the notes are not called, investors will receive par at maturity if the index return is at least 90% of the initial level and will lose 1.1111% for every 1% drop in the index beyond the 10% buffer.

The notes (Cusip: 48125VSJ0) are expected to price March 23 and settle March 28.

J.P. Morgan Securities LLC will act as agent.

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