JPMorgan plans buffered return enhanced notes tied to BRIC currencies

By Angela McDaniels

Tacoma, Wash., Oct. 20 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Nov. 15, 2012 linked to the performance of four currencies relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Brazilian real, Chinese renminbi, Indian rupee and Russian ruble.

The payout at maturity will be par plus at least 2.25 times any appreciation of the basket relative to the dollar, subject to a maximum return of at least 225%. The exact upside leverage factor and cap will be set at pricing.

If the basket depreciates relative to the dollar by 20% or less, the payout will be par.

If the basket depreciates by more than 20%, the payout will be par plus the basket return, subject to a maximum loss of 50%.

The notes (Cusip 48124AT49) are expected to price Nov. 9 and settle Nov. 15.

J.P. Morgan Securities LLC is the agent.

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