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JPMorgan plans dual directional knock-out notes linked to indexes
By Angela McDaniels
Tacoma, Wash., Aug. 29 – JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due Sept. 30, 2016 linked to the lesser performing 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 final level of either index is less than its initial index level by more than 25%.
If the final level of each index is greater than or equal to its initial level, the payout at maturity will be par plus at least 100% of the return of the lesser-performing index. The exact upside leverage factor will be set at pricing.
If the final level of either index is less than its initial level but a knock-out event has not occurred, the payout will be par plus the absolute value of the return of the lesser-performing index.
If a knock-out event has occurred, investors will be fully exposed to the decline of the lesser-performing index.
J.P. Morgan Securities LLC is the agent.
The notes are expected to price Sept. 25 and settle Sept. 30.
The Cusip number is 48127DYZ5.
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