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JPMorgan plans to price digital notes linked to S&P 500 index
By Marisa Wong
Madison, Wis., March 25 - JPMorgan Chase & Co. plans to price 0% digital notes due April 15, 2015 linked to S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-out event occurs if the index closing level on any day during the life of the notes or the final index level is less than the initial level by more than the 15% knock-out buffer.
If the index finishes at or above the initial level, the payout at maturity will be par plus a fixed return of at least 9% that will be set at pricing.
If the final index level is less than the initial level but a knock-out event has not occurred, the payout will be par. Otherwise, investors will be fully exposed to the index decline.
The final level will be the average of the index closing levels on the five averaging dates ending April 10, 2015.
J.P. Morgan Securities LLC is the agent.
The notes are expected to price March 28 and settle April 2.
The Cusip number is 48127DCG1.
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