*If the Final Value of each Underlying is greater than or equal to its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 × Lesser Performing Index Return × Upside Leverage Factor)*

If the Final Value of either Underlying is less than its Initial Value but the Final Value of each Underlying is greater than or equal to its Initial Value or less than its Initial Value by up to the Contingent Buffer Amount, you will receive the principal amount of the notes at maturity.

If the Final Value of either Underlying is less than its Initial Value by more than the Contingent Buffer Amount (50%), your payment at

maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 × Lesser Performing Underlying Return)

If the Final Value of either Underlying is less than its Initial Value but the Final Value of each Underlying is greater than or equal to its Initial Value or less than its Initial Value by up to the Contingent Buffer Amount, you will receive the principal amount of the notes at maturity.

If the Final Value of either Underlying is less than its Initial Value by more than the Contingent Buffer Amount (50%), your payment at

maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 × Lesser Performing Underlying Return)

So what am I missing here?

**I understand that structured investments are always a bad idea**, but this one just seems too good to be true! Here's my rough analysis:

- I won't be able to collect dividends on the index. (Current dividend yield of EFA is 3.05%)

- I'll be taking on credit risk of JP Morgan for 5yrs. (High quality 5yr corporate bond yield is about 3.5%)

- In order to replicate the hypothetical returns of the note using options, you could use a margin account to get 3.1 leverage then buy at the money puts (enough to cover the 3.1x leverage), and then sell puts (enough to cover 1x your principal) with a strike 50% less than the spot price.

- Using an options pricing calculator, I figure the net cost of the options would be about 7% of principal per year.

- Let's say you have the ability to borrow money cheaply (2% per year). Getting 3.1x leverage would cost about 4% per year.

Cost estimate: 7% (cost of options) + 4% (cost to get 3.1x leverage) = 11% (total percent of principal needed per year to replicate note's return profile)

Risks: 3.05% (not getting return on dividends with note) + 3.5% (credit risk of JP Morgan) = 6.55%

It's seems as though your getting a free 4.45% (11% - 6.55% = 4.45%) with this structured note. There's no cap on how much you can make, and there are no additional fees for buying the product. I have to be missing something. How can I replicate the note's payment at maturity profile for a better price than they're offering? I can't think of a way, and it's not even close! Thanks so much for reading this long post! I greatly appreciate your help!