JPMorgan plans capped dual directional knock-out notes on Euro Stoxx

By Jennifer Chiou

New York, Feb. 25 – JPMorgan Chase & Co. plans to price 0% capped dual directional knock-out buffered equity notes due Aug. 31, 2016 linked to the Euro Stoxx 50 index, according to an FWP with the Securities and Exchange Commission.

A knock-out event occurs if the index closes below the initial level by more than the knock-out buffer amount, which will be 23.85%, on any day during the life of the notes.

If a knock-out event has not occurred and the index finishes above its initial level, the payout at maturity will be par plus the index gain, capped at 23.85%.

If a knock-out event has not occurred and the index falls, the payout will be par plus the absolute value of the index return.

Otherwise, the payout will be par plus the return, with any gains capped at 23.85% and full exposure to any losses.

The notes (Cusip: 48125UGC0) will price on Feb. 27 and settle on March 4.

J.P. Morgan Securities LLC is the agent.

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