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JPMorgan plans to price capped knock-out notes linked to Euro Stoxx 50
By Toni Weeks
San Luis Obispo, Calif., Dec. 16 – JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Jan. 6, 2016 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than 15% from the initial level on any day during the life of the notes or the final index level is less than the initial level by more than 15%.
If a knock-out event does not occur, the payout at maturity will be par plus a digital return of at least 12.8%.
If a knock-out event occurs, the payout at maturity will be par plus the index return, subject to a maximum return of 12.8%.
The final index level will be the average of the index closing levels on the five trading dates ending Dec. 31, 2015.
The exact terms will be set at pricing.
The notes (Cusip: 48127D3S5) will price Dec. 19 and settle Dec. 24.
J.P. Morgan Securities LLC will act as agent.
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