JPMorgan to price 97% principal-protected bearish notes linked to four currencies

By E. Janene Geiss

Philadelphia, Nov. 12 - JPMorgan Chase & Co. plans to price zero-coupon 97% principal-protected bearish notes due May 20, 2010 linked to a basket of four currencies, according to an FWP filing with the Securities and Exchange Commission.

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

If the ending basket level is greater than or equal to the initial strike level, which is the average of the basket closing levels on Nov. 21, Nov. 28, Dec. 5 and Dec. 12 of 2008, the payout will be 97% of par.

The payout at maturity will be 97% of par plus at least 100% of any depreciation in the basket relative to the dollar, with the exact participation rate to be set at pricing, if the ending basket level is less than the initial strike level, but greater than 87%, the lower strike level.

If the ending basket level is less than 87% of the initial level, investors will receive 97% of par plus at least 100% of the basket performance times the 13% put spread percentage.

Investors will receive at least 97%.

The notes are expected to price on Nov. 17 and settle on Nov. 20.

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

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