JPMorgan plans buffered return enhanced notes tied to four currencies

By Angela McDaniels

Tacoma, Wash., Nov. 24 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Dec. 20, 2013 linked to the performance of four currencies relative to the U.S. dollar, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Australian dollar, Brazilian real, Canadian dollar and Norwegian krone.

The payout at maturity will be par plus at least 2.8 times any appreciation of the basket relative to the U.S. dollar, subject to a maximum return of at least 280%. The exact upside leverage factor and cap will be set at pricing.

Investors will receive par if the basket depreciates relative to the dollar by 30% or less and will lose 1% for every 1% that it drops beyond 30%.

The notes (Cusip 48124A3P0) are expected to price Dec. 15 and settle Dec. 20.

J.P. Morgan Securities LLC is the agent.

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