JPMorgan plans buffered return enhanced notes tied to three currencies

By Angela McDaniels

Tacoma, Wash., Jan. 4 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Jan. 20, 2012 linked to the performance of a basket of 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 Canadian dollar, the Chilean peso and the Mexican peso.

The payout at maturity will be par plus at least 2.1 times any appreciation of the basket relative to the U.S. dollar, subject to a maximum return of at least 10.5%. Investors will receive par if the basket depreciates relative to the U.S. dollar by 5% or less and will lose 1.0526% for every 1% that it declines beyond 5%.

The exact upside leverage factor and maximum return will be set at pricing.

The notes (Cusip: 48124A6Z5) are expected to price Jan. 7 and settle Jan. 12.

J.P. Morgan Securities LLC is the agent.

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