JPMorgan plans 0% dual directional notes linked to five currencies

By Laura Lutz

Des Moines, May 1 - JPMorgan Chase & Co. plans to price 0% principal-protected dual directional notes due Nov. 30, 2010 linked to a basket of five currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights of the Brazilian real, the Russian ruble, the Indian rupee, the Chinese renminbi and the South Korean won.

If the final basket level is at least the initial level, the payout at maturity will be par plus any gain on the basket times an upside participation rate that will be at least 150%.

If the final basket level is less than the initial level, the payout will be par plus the absolute value of the decline in the basket times a downside participation rate that will be at least 50%.

The exact participation rates will be set at pricing.

The notes are expected to price on May 27 and settle on May 30.

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

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