JPMorgan to price capped return enhanced notes linked to Mexican peso

By Angela McDaniels

Tacoma, Wash., Feb. 5 - JPMorgan Chase & Co. plans to price 0% capped return enhanced notes due March 5, 2015 linked to the performance of the Mexican peso relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

The currency return will be positive if the peso appreciates relative to the dollar.

If the currency return is positive, the payout at maturity will be par plus 1.8 times to 2.2 times the currency return, subject to a maximum payout of $2,800 to $3,200 per $1,000 principal amount of notes. If the currency return is negative, investors will have 1-to-1 exposure to the decline.

The exact upside leverage factor and maximum payout will be set at pricing.

J.P. Morgan Securities LLC is the agent.

The notes will price Feb. 21 and settle Feb. 26.

The Cusip number is 48126NUF2.

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