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JPMorgan plans capped knock-in return enhanced notes on Euro Stoxx
By Toni Weeks
San Luis Obispo, Calif., April 1 – JPMorgan Chase & Co. plans to price 0% capped knock-in return enhanced notes due July 7, 2016 linked to the Euro Stoxx 50 index, according to an FWP 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.
The notes will price on April 2 and settle on April 8.
The Cusip number is 48125UMF6.
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