JPMorgan to price autocallable notes linked to S&P 500, Euro Stoxx 50

By Jennifer Chiou

New York, Sept. 5 - JPMorgan Chase & Co. plans to price 0% autocallable notes due Sept. 30, 2016 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index, according to an FWP with the Securities and Exchange Commission.

The notes will be called automatically at par plus a call premium of at least 12.25% per year if both indexes close at or above their call level on any of three annual call dates. The exact call premium will be set at pricing.

The call level will be equal to the initial level on the first call valuation date, dropping to 95% of the initial level and then 90% of the initial level on the subsequent valuation dates.

If the notes have not been called and the final level of each index is greater than or equal to its barrier level, 80% of its initial level, then the payout at maturity will be par. If either index finishes below its barrier level, investors will share fully in the losses of the least-performing index.

The notes (Cusip: 48126NRK5) are expected to price on Sept. 25 and settle on Sept. 30.

J.P. Morgan Securities LLC is the agent.

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