JPMorgan to price index-linked digital notes tied to S&P 500

By Jennifer Chiou

New York, Aug. 9 - JPMorgan Chase & Co. plans to price 0% index-linked digital notes due Oct. 3, 2014 tied to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index return is at least negative 20%, the payout at maturity will be par plus the threshold settlement amount of $1,093 and $1,113 per $1,000 principal amount. Otherwise, investors will be fully exposed to losses at a rate of 1.25% per 1% drop beyond 20%.

The notes (Cusip: 48125V2X7) will price on Aug. 14 and settle on Aug. 21.

Goldman Sachs & Co. is the underwriter.

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