JPMorgan increases participation rates for planned dual directional notes linked to five currencies

By Angela McDaniels

Tacoma, Wash., May 15 - JPMorgan Chase & Co. increased the participation rates for its upcoming issue of zero-coupon principal-protected dual directional notes due Nov. 30, 2010 linked to a basket of five currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Brazilian real, Russian ruble, Indian rupee, Chinese renminbi and South Korean won.

If the basket appreciates relative to the dollar, the payout at maturity will be par plus the gain multiplied by an upside participation rate that will be at least 162%. Previously, this rate was expected to be at least 150%.

If the basket depreciates relative to the dollar, the payout will be par plus the absolute value of the decline multiplied by a downside participation rate that will be at least 62%. Previously, this rate was expected to be at least 50%.

The exact participation rates will be set at pricing.

The notes will price on May 27 and settle on May 30.

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

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