JPMorgan to price autocallables linked to Euro Stoxx 50, Russell 2000

By Angela McDaniels

Tacoma, Wash., Nov. 23 – JPMorgan Chase & Co. plans to price 0% autocallable notes due Nov. 29, 2018 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus at least 13% if each index’s closing level is greater than or equal to its initial level on Dec. 1, 2016, at par plus at least 26% if each index’s closing level is greater than or equal to 95% of its initial level on Nov. 24, 2017 or at par plus at least 39% if each index’s closing level is greater than or equal to 90% of its initial level on Nov. 26, 2018. The exact call premium will be set at pricing.

If the notes have not been called and the final level of each index is greater than or equal to its trigger value, 70% of its initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the lesser-performing index.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Nov. 24.

The Cusip number is 48128GEB2.

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