JPMorgan plans dual directional knock-out notes on commodity index

By Marisa Wong

Madison, Wis., April 11 - JPMorgan Chase & Co. plans to price 0% capped dual directional knock-out buffered equity notes due April 28, 2016 linked to the Dow Jones-UBS Commodity index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index's closing level is less than the initial index level 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 at least 15% and will be set at pricing.

If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus the index return, subject to a maximum return of 30%.

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

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

The notes (Cusip: 48126DQ69) will price on April 24 and settle on April 29.

J.P. Morgan Securities LLC is the agent.

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