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

By E. Janene Geiss

Philadelphia, Feb. 2 - JPMorgan Chase & Co. plans to price an issue of 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 at increasing premiums if the index is above 90% of the initial level on the first review date and if the index shows a gain on the next two semiannual review dates.

The redemption amount will be par plus 12% if the notes are called on March 1, 2010, par plus 18% if called on Aug. 24, 2010 and par plus 24% if called on Feb. 24, 2011.

If the notes are not called, investors will receive par at maturity unless the index declines by more than 10%. Investors will lose 1% of the principal amount for every 1% index decline beyond 10%.

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

J.P. Morgan Securities Inc. will be agent.

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