JPMorgan plans dual directional knock-out buffered notes on indexes

By Toni Weeks

San Luis Obispo, Calif., Dec. 4 – JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due Dec. 29, 2017 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 least-performing index. The exact participation rate will be set at pricing.

If either index finishes below its initial level but neither index falls by more than the 25% buffer amount, the payout will be par plus the absolute value of the return of the lesser-performing index.

If either component finishes below the 75% trigger level, investors will be fully exposed to the decline in the lesser-performing index from its initial level.

The notes (Cusip: 48127D2E7) will price Dec. 23 and settle Dec. 31.

J.P. Morgan Securities LLC is the agent.

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