JPMorgan to price knock-out buffered return enhanced notes tied to Euro Stoxx, iShares MSCI EAFE

By Toni Weeks

San Luis Obispo, Calif., June 12 – JPMorgan Chase & Co. plans to price 0% knock-out buffered return enhanced notes due Dec. 23, 2016 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if either component finishes below its initial level by more than the 25% knock-out buffer amount on the Dec. 20, 2016 final observation date.

If the final level of each component is greater than or equal to its initial level, the payout at maturity will be par plus 190% to 195% of the return of the least-performing component. The exact participation rate will be determined at pricing.

If either component finishes below its initial level but a knock-out event has not occurred, the payout will be par.

If either component finishes below its initial level and a knock-out event has occurred, investors will be fully exposed to the decline in the lesser-performing component from its initial level.

The notes (Cusip: 48127DMM7) will price June 20 and settle June 25.

J.P. Morgan Securities LLC is the agent.

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