JPMorgan plans return enhanced notes linked to JPMorgan Income FX2, EM strategies

By Susanna Moon

Chicago, June 2 - JPMorgan Chase & Co. plans to price 0% return enhanced notes due July 2, 2013 linked to equal weights of the JPMorgan Income FX2 Strategy and the JPMorgan Income EM Strategy, according to a 424B2 filing with the Securities and Exchange Commission.

The JPMorgan Income Strategy uses a positive carry strategy, which seeks to capitalize on the relationship between eligible currency pairs by attempting to earn a return by buying currencies of countries with relatively high interest rates and simultaneously selling currencies of countries with relatively low interest rates. The FX2 and EM strategies are linked to currencies of selected economically developed nations and emerging markets nations, respectively.

The payout at maturity will be par plus 2.3 to 2.6 times any gain in the basket, with the exact upside leverage factor to be set at pricing. Investors will be exposed to any losses.

The notes are expected to price on June 27 and settle on July 2.

J.P. Morgan Securities Inc. is the agent.

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