JPMorgan plans dual directional knock-out buffered notes on S&P 500

By Toni Weeks

San Luis Obispo, Calif., June 4 - JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due June 17, 2015 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index's closing level is less than the initial index level by more than the knock-out buffer amount on any day during the life of the notes. The knock-out buffer amount is expected to be at least 22% and will be set at pricing.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus the index return.

If the final index level is less than the initial index level and a knock-out event has not occurred, the payout will be par plus the absolute value of the index return.

If the final index level is less than the initial index level and a knock-out event has occurred, investors will be fully exposed to the index level decline.

The notes (Cusip: 48126NDB0) will price June 13 and settle June 18.

J.P. Morgan Securities LLC is the agent.

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