JPMorgan plans dual directional knock-out buffered notes on S&P 500

By Susanna Moon

Chicago, Aug. 14 – JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due Aug. 31, 2016 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index ever closes down by more than the 19.35% knock-out buffer amount on any day during the life of the notes.

If the index finishes above the initial level, the payout at maturity will be par plus the index return.

If the index finishes below its initial level but a knock-out event has not occurred, the payout will be par plus the absolute value of the index return.

If the index falls and a knock-out event has occurred, investors will be fully exposed to any losses.

J.P. Morgan Securities LLC is the agent.

The notes will price on Aug. 26 and settle on Aug. 29.

The Cusip number is 48127DXG8.

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