JPMorgan plans knock-out buffered equity notes linked to index basket

By Toni Weeks

San Luis Obispo, Calif., July 22 - JPMorgan Chase & Co. plans to price 0% knock-out buffered equity notes due April 29, 2016 linked to a basket containing equal weights of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the basket closes below the 60% knock-in level on any day during the life of the notes.

If the basket return is positive, the payout at maturity will be par plus the basket return.

If the basket return is zero or negative but a knock-out event has not occurred, the payout will be par.

If the basket return is negative and a knock-out event has occurred, investors will be fully exposed to losses.

J.P. Morgan Securities LLC will act as agent.

The notes (Cusip: 48126NKJ5) will price July 26 and settle July 31.

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