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Published on 12/22/2014 in the Prospect News Structured Products Daily.

JPMorgan plans return notes due 2016 tied to Strategic Volatility index

By Susanna Moon

Chicago, Dec. 22 – JPMorgan Chase & Co. plans to price 0% return notes due March 31, 2016 linked to the J.P. Morgan Strategic Volatility index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the index return, with exposure to any losses.

Holders may request that the company repurchase their notes early at par plus the index return minus a 0.5% repurchase fee. The issuer said it intends to accept all requests for repurchase but is not obligated to do so.

J.P. Morgan Securities LLC is the agent.

The notes will price on Dec. 26 and settle on Dec. 31.

The Cusip number is 48127D4C9.


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