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

By Jennifer Chiou

New York, Oct. 14 – JPMorgan Chase & Co. plans to price 0% autocallable notes due Oct. 19, 2017 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.

If each index closes at or above its call level on an annual call observation date, the notes will be called at par plus an annualized call premium of 11.2%. The call level is equal to the initial level on the first valuation date, then 95% of the initial level on the second date and 90% of the initial level on the final call valuation date.

If the notes are not called and each index finishes at or above its 80% trigger level, the payout at maturity will be par.

Otherwise, investors will be exposed to the decline of the worst-performing index from its initial level.

The notes (Cusip: 48127DL89) will price on Oct. 15 and settle on Oct. 20.

J.P. Morgan Securities LLC is the agent.

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