JPMorgan plans to price digital notes linked to S&P 500 index

By Marisa Wong

Madison, Wis., June 19 - JPMorgan Chase & Co. plans to price 0% digital notes due July 2, 2015 tied to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index return is zero or positive, the payout at maturity will be par plus a digital return of 14% to 18%. The exact digital return will be set at pricing. If the index falls by up to 10%, the payout will be par. Otherwise, investors will lose 1% for every 1% drop beyond 10%.

The notes (Cusip: 48126NEY9) will price on June 28 and settle on July 3.

J.P. Morgan Securities LLC is the underwriter.

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