JPMorgan plans dual directional knock-out buffered notes on iShares EAFE

By Susanna Moon

Chicago, April 14 - JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due April 28, 2016 linked to the iShares MSCI EAFE exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the fund closes below the initial level by more than the knock-out buffer on any day during the life of the notes. The knock-out buffer will be at least 22.35%, with the exact percentage to be set at pricing.

If the fund finishes at or above the initial level, the payout at maturity will be par plus the gain.

If the shares fall but a knock-out event never occurs, the payout will be par plus the absolute value of the return.

Otherwise, investors will be fully exposed to any losses.

J.P. Morgan Securities LLC is the agent.

The notes will price on April 24 and settle on April 29.

The Cusip number is 48127DEU8.

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