JPMorgan plans dual directional knock-out buffered notes on two ETFs

By Marisa Wong

Madison, Wis., Jan. 31 - JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due Feb. 12, 2018 linked to the lesser performing of the iShares MSCI EAFE exchange-traded fund and iShares MSCI Emerging Markets ETF, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the final share price of either fund is less than its initial price by more than the knock-out buffer. The knock-out buffer will be at least 47% and will be set at pricing.

If both funds finish at or above their initial levels, the payout at maturity will be par plus the return of the lesser performing fund.

If the final price of either fund is less than its initial price but a knock-out event has not occurred, the payout will be par plus the absolute return of the lesser performing fund.

Otherwise, investors will be fully exposed to the decline of the lesser performing fund.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 7 and settle on Feb. 12.

The Cusip number is 48126N2J5.

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