JPMorgan to price dual directional knock-out buffered notes linked to iShares MSCI EAFE

By Angela McDaniels

Tacoma, Wash., April 20 - JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due May 15, 2014 linked to the iShares MSCI EAFE index fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the exchange-traded fund's closing share price is less than the initial share price by more than the knock-out buffer amount on any day during the life of the notes. The knock-out buffer amount is expected to be 32.8% to 36.8% and will be set at pricing.

If the final share price is greater than the initial share price, the payout at maturity will be par plus the ETF return.

If the final share price is equal to the initial share price, the payout will be par.

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

If the final share price is less than the initial share price and a knock-out event has occurred, investors will be fully exposed to the share price decline.

The notes (Cusip: 48125VWC0) are expected to price May 10 and settle May 15.

J.P. Morgan Securities LLC is the agent.

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