JPMorgan to price dual directional notes linked to Brick currencies with 155%, 55% participation rates

By Susanna Moon

Chicago, June 2 - JPMorgan Chase & Co. plans to price zero-coupon principal-protected dual directional notes due Dec. 31, 2010 linked to a basket of five currencies relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

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

The payout at maturity will be par plus any gain in the basket multiplied by a participation rate of at least 155%.

If the basket falls against the dollar, the payout will be par plus the absolute value of the basket return times a participation rate of at least 55%.

The exact rates will be set at pricing.

The notes are expected to price on June 25 and settle on June 30.

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

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