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JPMorgan to price four-year notes on Alternative Index Multi-Strategy
By Angela McDaniels
Tacoma, Wash., Nov. 1 - JPMorgan Chase & Co. plans to price 0% notes due Nov. 28, 2014 linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD), according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus at least 100% of the index return, subject to a floor of par. The exact participation rate will be set at pricing.
The index is a notional rules-based proprietary index that tracks the return of 26 alternative investment strategies covering different styles and asset classes in order to seek to generate positive performance with a low correlation to traditional asset classes. It also seeks to cap its volatility at 5% or less.
The notes (Cusip 48124AV46) are expected to price Nov. 23 and settle Nov. 30.
J.P. Morgan Securities LLC is the agent.
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