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

By Toni Weeks

San Luis Obispo, Calif., Feb. 11 – JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due March 1, 2017 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out even occurs if the index closes below the initial level by more than the knock-out buffer amount of at least 21.25% on any day during the life of the notes. The exact knock-out buffer will be set at pricing.

If the final index level is greater than or equal to the initial level, the payout at maturity will be par plus 100% of the index return.

If the final index level is less than the initial level and a knock-out event has not occurred, the payout will be par plus the absolute return of the index return.

If the final index level is less than the initial level and a knock-out event has occurred, investors will receive par plus the index return, with full exposure to the index decline from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 24 and settle on Feb. 27.

The Cusip number is 48125UEU2.

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