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JPMorgan to price principal-protected notes linked to four currencies
By E. Janene Geiss
Philadelphia, July 17 - JPMorgan Chase & Co. plans to price principal-protected notes due Aug. 26, 2008 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.
The basket will include equal weights (25% each) of the Brazilian real, Indian rupee, Mexican peso and Turkish lira, all versus the dollar.
If the absolute value of the basket is more than the initial basket level, but less than 107.50%, the payout at maturity will be par plus a contingent coupon of 7.5%.
If the absolute value of the basket is greater than 107.50% of the initial basket level, the payout will be par plus the basket return multiplied by a participation rate expected to be 100% with the exact rate determined at pricing.
If the absolute value of the basket declines, investors will receive par.
The notes are expected to price Aug. 24 and settle Aug. 29.
J.P. Morgan Securities Inc. will be the agent.
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