JPMorgan plans dual directional knock-out notes tied to S&P, Russell

New York, Oct. 1 – JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due Oct. 31, 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.

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.

A knock-out event occurs if the final level of either index is less than its initial index level by more than 25%.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price on Oct. 28 and settle on Oct. 31.

The Cusip number is 48127DH43.

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