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

By Jennifer Chiou

New York, Nov. 22 - JPMorgan Chase & Co. plans to price 0% dual directional knock-out buffered equity notes due June 3, 2013 linked to the iShares MSCI Emerging Markets index fund, according to an FWP with the Securities and Exchange Commission.

A knock-out event occurs if the exchange-traded fund's shares close below 65% of the initial share price on any day during the life of the notes.

If the final share price is greater than the initial share price, the payout at maturity will be par plus the lesser of the maximum upside return and the ETF return. The maximum upside return is expected to be at least 33% and will be set at pricing.

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: 48125VDN7) are expected to price on Nov. 29 and settle on Dec. 2.

J.P. Morgan Securities LLC is the agent.

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