JPMorgan plans contingent digital coupon notes tied to yen, euro vs. dollar

By Angela McDaniels

Tacoma, Wash., June 23 - JPMorgan Chase & Co. plans to price contingent digital coupon notes due July 8, 2011 linked to the performance of the Japanese yen and euro relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

The notes are bullish on the dollar. Investors will receive a coupon payment for each quarter that the dollar appreciates or remains flat relative to both the yen and euro, and investors will receive par at maturity if the dollar has not depreciated relative to either of the currencies by more than 5%.

Specifically, if the spot rates of both the yen and euro are less than or equal to their starting spot rates, investors will receive a coupon payment for that quarter. The coupon rate is expected to be at least 2.8% per quarter and will be set at pricing. If the spot rate for either currency is greater than its initial spot rate, no coupon will be paid for that quarter.

If the final spot rate of the better performing currency is less than or equal to its initial spot rate or is greater than its initial spot rate by up to 5%, the payout at maturity will be par.

If the final spot rate of the better performing currency is greater than its initial spot rate by more than 5%, investors will lose 1.0526% for every 1% increase beyond 5%.

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

J.P. Morgan Securities Inc. is the agent.

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