JPMorgan plans digital plus buffered notes linked to three Asian currencies relative to euro

By Jennifer Chiou

New York, April 14 - JPMorgan Chase & Co. plans to price 0% digital plus buffered notes due April 25, 2012 linked to the performance of a basket of Asian currencies relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

The equally weighted basket includes the South Korean won, Indonesian rupiah and the Singapore dollar.

If the basket appreciates relative to the euro, the payout at maturity will be par plus the greater of the basket return and a fixed percentage of at least 14.25%. The exact fixed percentage will be set at pricing.

Investors will receive par if the basket declines by 5% or less and will lose 1.0526% for every 1% that it declines beyond 5%.

The notes are expected to price on April 16 and settle on April 21.

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

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