JPMorgan to price principal-protected dual directional notes linked to five currencies

By E. Janene Geiss

Philadelphia, Sept. 2 - JPMorgan Chase & Co. plans to price zero-coupon principal-protected dual directional notes due March 31, 2011 linked to a basket of five equally weighted currencies versus the dollar, according to an FWP filing with the Securities and Exchange Commission.

The underlying currencies are the Brazilian real, Russian ruble, South Korean won, Chinese renminbi and Indian rupee.

Payout at maturity will be par plus at least 140% of any gain in the basket.

If the basket falls against the dollar, the payout will be par plus the absolute value of the basket return times a participation rate of at least 40%.

The exact upside and downside rates will be set at pricing.

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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