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

By Susanna Moon

Chicago, July 9 – JPMorgan Chase & Co. plans to price autocallable notes due Aug. 2, 2018 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus an annual call premium of at least 12.4% if each index closes at or above its call level on Aug. 4, 2016, July 28, 2017 or July 30, 2018.

The call level for each index will be 100% of the initial level on the first call valuation date, 95% of the initial level for the second valuation date and 90% of the initial level for the third call valuation date.

The payout at maturity will be par unless either index finishes below its 75% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on July 28 and settle on July 31.

The Cusip number is 48125UZY1.

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