New Issue: JPMorgan prices $700,000 buffered return enhanced notes tied to three currencies

By Marisa Wong

Madison, Wis., Jan. 11 - JPMorgan Chase & Co. priced $700,000 of 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 a 424B2 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 2.1 times any appreciation of the basket relative to the U.S. dollar, subject to a maximum return of 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%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Buffered return enhanced notes
Underlying currencies:	Canadian dollar, Chilean peso, Mexican peso
Amount:	$700,000
Maturity:	Jan. 20, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 2.1 times any basket gain, capped at 10.5%; par if basket declines by 5% or less; 1.0526% loss for every 1% decline beyond 5%
Initial spot rates:	1.0092 for Canadian dollar, 0.0020122 for Chilean peso and 0.081824 for Mexican peso
Pricing date:	Jan. 7
Settlement date:	Jan. 12
Agent:	JPMorgan Securities LLC
Fees:	1%
Cusip:	48124A6Z5

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