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JPMorgan plans capped index knock-out notes tied to Euro Stoxx
By Marisa Wong
Madison, Wis., Dec. 4 – JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Dec. 23, 2015 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 closes below the initial level by more than 15% on any day during the life of the notes.
If a knock-out event does not occur, the payout at maturity will be par plus the contingent digital return, which will be at least 10.55% and will be set at pricing.
Otherwise, the payout will be par plus the index return, with exposure to losses and subject to a maximum return of at least 10.55%. The exact cap will be set at pricing.
J.P. Morgan Securities LLC will act as agent.
The notes will price on Dec. 5 and settle on Dec. 10.
The Cusip number is 48127D2L1.
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