New Issue: JPMorgan prices $2.75 million dual directional notes linked to dollar vs. four currencies

By Angela McDaniels

Tacoma, Wash., Aug. 4 - JPMorgan Chase & Co. priced $2.75 million of zero-coupon principal-protected dual directional notes due Feb. 4, 2011 linked to the performance of the dollar relative to a basket of currencies, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes equal weights of the British pound sterling, euro, Swiss franc and Japanese yen.

If the dollar appreciates relative to the basket, the payout at maturity will be par plus 140% of the gain. If the dollar depreciates relative to the basket, the payout will be par plus 40% of the absolute value of the decline.

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

Issuer:	JPMorgan Chase & Co.
Issue:	Principal-protected dual directional notes
Underlying currencies:	British pound sterling, euro, Swiss franc and Japanese yen, equally weighted
Amount:	$2,747,000
Maturity:	Feb. 4, 2011
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 1.4% for every 1% that the dollar strengthens against the basket; par plus 0.4% for every 1% that the dollar weakens against the basket
Initial exchange rates:	50.482 cents per pound, 64.094 cents per euro, 1.048 francs per dollar, 108.085 yen per dollar
Pricing date:	July 31
Settlement date:	Aug. 5
Agent:	J.P. Morgan Securities Inc.
Fees:	1.58%

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