By Jennifer Chiou
New York, June 24 – JPMorgan Chase & Co. priced $2.27 million of 0% knock-out buffered return enhanced notes due Dec. 23, 2016 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if either component finishes below its initial level by more than the 25% knock-out buffer amount on the Dec. 20, 2016 final observation date.
If the final level of each component is greater than or equal to its initial level, the payout at maturity will be par plus 195% of the return of the least-performing component.
If either component finishes below its initial level but a knock-out event has not occurred, the payout will be par.
If either component finishes below its initial level and a knock-out event has occurred, investors will be fully exposed to the decline in the lesser-performing component from its initial level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Knock-out buffered return enhanced notes
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| Underlying assets: | Euro Stoxx 50 index and iShares MSCI EAFE exchange-traded fund
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| Amount: | $2.27 million
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| Maturity: | Dec. 23, 2016
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 1.95 times the return of the least-performing component if the final level of each is at or above initial level; par if either component finishes below its initial level but a knock-out event has not occurred; otherwise, exposure to decline in the lesser-performing component if either finishes below its initial level and a knock-out event has occurred
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| Initial levels: | 3,302.36 for index; $70.47 for fund
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| Pricing date: | June 20
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| Settlement date: | June 25
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 2%, all for selling concessions
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| Cusip: | 48127DMM7
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