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

By Angela McDaniels

Tacoma, Wash., June 2 - JPMorgan Chase & Co. plans to price zero-coupon principal-protected asset allocation notes due June 30, 2014 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 currencies, commodities, debt and equity.

The currency basket includes 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 equity basket includes equal weights of the Dow Jones Euro Stoxx 50, Nikkei 225 and S&P 500 indexes. The debt basket consists of the JPMorgan GBI Global Bond Total Return index hedged into dollars.

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.

The payout at maturity will be par plus any gain on the best-performing portfolio multiplied by a participation rate that will be at least 100%. Investors will receive at least par.

The notes are expected to price on June 25 and settle on June 30.

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

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