JPMorgan plans knock-out buffered notes on Euro Stoxx, iShares EAFE

By Marisa Wong

Madison, Wis., July 3 – JPMorgan Chase & Co. plans to price 0% knock-out buffered return enhanced notes due July 21, 2017 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.

If each underlying component finishes at or above its initial level, the payout at maturity will be par plus 185% to 195% of the return of the lesser performing underlying component. The exact upside leverage factor will be set at pricing.

If either underlying component finishes below its initial level but neither underlying component has declined by more than 25%, the payout will be par.

If either underlying component declines by more than 25%, investors will be fully exposed to the decline of the lesser performing underlying component.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price July 18 and settle July 23.

The Cusip number is 48127DRY6.

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