JPMorgan plans protected notes on Alternative Index Multi-Strategy

By Susanna Moon

Chicago, Feb. 3 - JPMorgan Chase & Co. plans to price 0% notes due Aug. 11, 2014 based on the J.P. Morgan Alternative Index Multi-Strategy 5 (USD), according to an FWP with the Securities and Exchange Commission.

The payout at maturity will be par plus at least 100% of any index gain, with the exact participation rate to be set at pricing.

If the index falls, the payout will be par.

The index is a notional rules-based proprietary index that tracks the return of 26 alternative investment strategies. It is based on the theory that returns may be generated from capturing inefficiencies or trends in market prices of multiple asset classes.

The notes (Cusip 48125XDF0) are expected to price on Feb. 4 and settle on Feb. 9.

J.P. Morgan Securities LLC is the agent.

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