JPMorgan plans contingent buffered step-up digital notes tied to peso

By Angela McDaniels

Tacoma, Wash., Oct. 2 - JPMorgan Chase & Co. plans to price 0% contingent buffered step-up digital notes due Oct. 22, 2014 linked to the performance of the Mexican peso relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

The currency return will be positive if the peso appreciates relative to the dollar.

If the currency return is greater than or equal to 5%, the payout at maturity will be par plus the high digital return, which is expected to be at least 10.6% and will be set at pricing.

If the currency return is zero or positive but is less than 5%, the payout will be par plus 5%.

If the currency return is negative but not less than negative 25%, the payout will be par.

If the currency return is less than negative 25%, investors will have 1-to-1 exposure to the decline from the initial level.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Oct. 3 and settle Oct. 8.

The Cusip number is 48126NSV0.

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