JPMorgan plans five-year asset allocation notes linked to three portfolios

By E. Janene Geiss

Philadelphia, Sept. 2 - JPMorgan Chase & Co. plans to price zero-coupon principal-protected asset allocation notes due Sept. 30, 2013 linked to the best performer of three reference portfolios that consist of four asset classes, according to an FWP filing with the Securities and Exchange Commission.

The four asset classes are equity, debt, commodities and currencies.

The currency basket contains equal weights of the British pound, euro and Japanese yen, all against the dollar. The commodity basket consists of the Dow Jones - AIG Commodities index. The debt basket consists of the JPMorgan GBI Global Bond Total Return index hedged into dollars. The equity basket consists of equal weights of the S&P 500, Dow Jones Euro Stoxx 50 and Nikkei 225 indexes.

Of the three portfolios, one is designated conservative, one balanced and one growth:

• The conservative portfolio will have a 15% weight in the currency basket, a 10% weight in the commodities index, a 25% weight in the equity basket and a 50% weight in the bond index;

• The balanced portfolio will have a 10% weight in the currency basket, a 15% weight in the commodities index, a 40% weight in the equity basket and a 35% weight in the bond index; and

• The growth portfolio will have a 5% weight in the currency basket, a 20% weight in the commodities index, a 60% weight in the equity basket and a 15% weight in the bond index.

Payout at maturity will be par plus any gain on the best-performing portfolio times a participation rate of at least 100%. Investors will receive at least par.

The notes are expected to price Sept. 25 and settle Sept. 30.

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

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