JPMorgan plans to price 0% capped market plus notes linked to yen

By Jennifer Chiou

New York, May 27 - JPMorgan Chase & Co. plans to price 0% capped market plus notes due June 13, 2011 linked to the performance of the dollar relative to the Japanese yen, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the dollar declines by 10% or more relative to the yen at any time during the life of the notes.

If a knock-out event occurs, the payout at maturity will be par plus the return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the return and the 2% contingent minimum return.

In both cases, the payout will be subject to a maximum return of at least 9.09% that will be set at pricing.

The notes are expected to price on May 28 and settle on June 3.

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

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