JPMorgan plans dual directional knock-out notes linked to Treasury ETF

By Angela McDaniels

Tacoma, Wash., Aug. 19 - JPMorgan Chase & Co. plans to price 0% capped dual directional knock-out buffered notes due Sept. 1, 2016 linked to the iShares 20+ Year Treasury Bond exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the ETF's closing share price is less than the initial share price 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 40% and will be set at pricing.

If the final share price is greater than the initial share price, the payout at maturity will be par plus the ETF return, subject to a maximum return of 10%.

If the final share price is equal to the initial share price, the payout will be par.

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

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

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Aug. 29 and settle Sept. 4.

The Cusip number is 48126NPB7.

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