JPMorgan plans to price bearish buffered return enhanced notes inversely tied to currencies

Jennifer Chiou

New York, July 21 - JPMorgan Chase & Co. plans to price 0% bearish buffered return enhanced notes due July 28, 2011 inversely linked to a basket of currencies relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

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

The payout at maturity will be par plus 1.88 times the basket return. Investors will receive par if the index increases by 20% or less and will lose 1% for each 1% increase beyond 20%.

The notes are expected to price on July 22 and settle on July 25.

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

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