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JPMorgan plans dual directional knock-out buffered notes on indexes
By Susanna Moon
Chicago, Jan. 29 – JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due Feb. 7, 2018 linked to the worse performing 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 either index finishes below the knock-out level, 75% of the initial level.
If each index finishes above the initial level, the payout at maturity will be par plus the return of the worse performing index.
If either index falls by up to 25%, the payout will be par plus the absolute value of the return of the worse performing index up to a cap of 25%.
Otherwise, investors will be fully exposed to any losses of the worse performing index.
J.P. Morgan Securities LLC is the agent.
The notes will price on Feb. 2 and settle on Feb. 5.
The Cusip number is 48125UAH5.
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