JPMorgan to price knock-out buffered notes linked to S&P, Russell

By Marisa Wong

Madison, Wis., Sept. 17 - JPMorgan Chase & Co. plans to price 0% knock-out buffered equity notes due June 23, 2016 linked to an equally weighted basket consisting 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 closing basket level is less than the initial basket level by more than 40% on any day.

If the final basket level is greater than the initial basket level, the payout at maturity will be par plus the basket return.

If the final basket level is less than or equal to the initial level and a knock-out event has not occurred, the payout will be par.

If the final basket level is less than the initial level and a knock-out event has occurred, investors will be fully exposed to the basket's decline from its initial level.

J.P. Morgan Securities Inc. is the agent.

The notes are expected to price Sept. 18 and settle Sept. 23.

The Cusip number is 48126NSQ1.

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