By Jennifer Chiou
New York, Oct. 30 - JPMorgan Chase & Co. priced $200,000 of zero-coupon principal-protected dual directional notes due Oct. 31, 2011 linked to a basket of four currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of equal weights of the pound, euro, Swiss franc and Japanese yen.
If the final basket return is positive against the dollar, the payout at maturity will be par plus 125% of the gain. If the final basket return is negative, the payout will be par plus 20% of the absolute value of the decline.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Principal-protected dual directional notes
|
| Underlying currencies: | Equal weights (25%) of the pound, euro, Swiss franc and Japanese yen
|
| Amount: | $200,000
|
| Maturity: | Oct. 31, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 125% of any basket gain against the dollar; par plus 20% of the absolute value of any basket decline against the dollar
|
| Pricing date: | Oct. 28
|
| Settlement date: | Oct. 31
|
| Agent: | J.P. Morgan Securities Inc
|
| Fees: | 3.15%
|
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