JPMorgan plans dual directional buffered review notes linked to real

By Jennifer Chiou

New York, May 21 - JPMorgan Chase & Co. plans to price 0% dual directional buffered review notes due June 13, 2015 linked to the Brazilian real relative to the dollar, according to an FWP with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of at least 18.55% if the currency closes at or above the initial level on any review date. The exact call premium will be set at pricing.

If the notes are not called and the currency falls by up to the contingent buffer of 15%, the payout at maturity will be par plus the absolute value of the return.

If the currency finishes below the 85% barrier level, investors will be fully exposed to any losses.

The notes (Cusip: 48126N6Q5) are expected to price on May 23 and settle on May 29.

J.P. Morgan Securities LLC is the agent.

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