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Published on 1/26/2011 in the Prospect News Structured Products Daily.

JPMorgan plans buffered return enhanced notes on Asian currencies

By Susanna Moon

Chicago, Jan. 26 - JPMorgan Chase & Co. plans to price 0% buffered return enhanced notes due Jan. 31, 2013 linked to four equally weighted Asian currencies relative to the U.S. dollar, according to an FWP with the Securities and Exchange Commission.

The underlying currencies are the South Korean won, Indonesian rupiah, Indian rupee and Singapore dollar.

The payout at maturity will be par plus at least 3.1 times any basket gain, up to a maximum return of at least 31%.

Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

The exact upside leverage factor and maximum return will be set at pricing.

The notes (Cusip: 48125XCJ3) are expected to price on Jan. 28 and settle on Feb. 2.

J.P. Morgan Securities LLC is the agent.


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