JPMorgan plans dual directional knock-out buffered notes on index, ETF

By Marisa Wong

Madison, Wis., June 5 – JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due June 30, 2016 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if either component closes below the initial level by more than the 30% knock-out buffer on any day during the life of the notes.

If each component finishes at or above the initial level, the payout at maturity will be par plus the return of the worse performing component times an upside leverage factor, which will be at least 1 and will be set at pricing.

If either component falls but a knock-out event never occurs, the payout will be par plus the absolute value of the return of the worse performing component.

Otherwise, investors will be fully exposed to any losses of the worse performing component.

J.P. Morgan Securities LLC is the agent.

The notes will price on June 25 and settle on June 30.

The Cusip number is 48127DLP7.

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