By Marisa Wong
Madison, Wis., April 8 – JPMorgan Chase & Co. priced $485,000 of 0% capped knock-in return enhanced notes due July 7, 2016 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-in event occurs if the closing index level is equal to or less than 95% of the initial level on any day from the pricing date to and including July 2.
If the final level is greater than the initial level and a knock-in event has occurred, the payout at maturity will be par plus 300% of the index return, subject a maximum return of 34.5%.
If the final level is greater than the initial level and a knock-in event has not occurred, the payout will be par plus 200% of the index return, subject a maximum return of 23%.
If the final level is equal to the initial level, the payout will be par.
Investors will be fully exposed to any losses.
The final index level will be the average of the closing index levels on the five trading days ending July 1, 2016.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Capped knock-in return enhanced notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $485,000
|
| Maturity: | July 7, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index finishes above initial level and knock-in event has not occurred, par plus 200% of the index gain, capped at 23%; if index gains and a knock-in event has occurred, par plus 300% of the gain, capped at 34.50%; otherwise, full exposure to losses
|
| Initial price: | 3,715.27
|
| Knock-in level: | 95% of initial level
|
| Knock-in event: | Index closes below the 95% knock-in level on any day during the life of the notes
|
| Pricing date: | April 2
|
| Settlement date: | April 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.16%
|
| Cusip: | 48125UMF6
|
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