JPMorgan plans principal-protected dual directional notes linked to dollar

By Angela McDaniels

Tacoma, Wash., June 17 - JPMorgan Chase & Co. plans to price zero-coupon principal-protected dual directional notes due Dec. 23, 2012 linked to the performance of the dollar relative to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the British pound sterling, euro, Swiss franc and Japanese yen.

If the dollar appreciates relative to the basket, the payout at maturity will be par plus at least 150% of the gain. If the dollar depreciates relative to the basket, the payout will be par plus at least 50% of the absolute value of the decline. The exact participation rates will be set at pricing.

The notes are expected to price on June 18 and settle on June 23.

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

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