JPMorgan to price notes linked to worst performing of euro, gold

By Angela McDaniels

Tacoma, Wash., Sept. 27 - JPMorgan Chase & Co. plans to price 0% notes due April 5, 2012 linked to the euro and gold, according to an FWP filing with the Securities and Exchange Commission.

The notes are bearish on the euro and bullish on gold. The currency return will be positive if the euro depreciates relative to the dollar, and the commodity return will be positive if the price of gold appreciates.

The payout at maturity will be 98% of par plus the additional amount, which cannot be less than zero or more than $1,000 per $1,000 principal amount of notes. The additional amount will be the currency return or the commodity return, whichever is less.

The notes (Cusip: 48125X5K8) are expected to price Sept. 30 and settle Oct. 5.

J.P. Morgan Securities LLC is the agent.

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