JPMorgan plans capped knock-in return enhanced notes on Euro Stoxx

By Toni Weeks

San Luis Obispo, Calif., June 23 – JPMorgan Chase & Co. plans to price 0% capped knock-in return enhanced notes due Oct. 13, 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 Sept. 28.

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 25.59%.

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 to a maximum return of 17.06%.

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 Oct. 7, 2016.

J.P. Morgan Securities LLC is the agent.

The notes will price June 26 and settle July 1.

The Cusip number is 48125UXW7.

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