JPMorgan plans knock-out buffered return enhanced notes linked to Euro Stoxx 50, iShares MSCI EAFE

By Angela McDaniels

Tacoma, Wash., June 5 – JPMorgan Chase & Co. plans to price 0% knock-out buffered return enhanced notes due Dec. 14, 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.

If each underlying component finishes at or above its initial level, the payout at maturity will be par plus 185% to 190% 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 June 9 and settle June 12.

The Cusip number is 48127DLS5.

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