New Issue: JPMorgan prices $9.55 million autocallable notes linked to FTSE 100, Euro Stoxx 50

By Toni Weeks

San Luis Obispo, Calif., May 20 – JPMorgan Chase & Co. priced $9.55 million of autocallable notes due May 23, 2018 linked to the lesser performing of the FTSE 100 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of 14.55% if each component closes at or above its initial level on May 25, 2016, May 18, 2017 or May 18, 2018.

If the notes have not been called, the payout at maturity will be par unless either index finishes below its 85% trigger level, in which case investors will be fully exposed to any losses of the worst-performing component.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable notes
Underlying indexes:	FTSE 100, Euro Stoxx 50
Amount:	$9.55 million
Maturity:	May 23, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	Par unless either index finishes below trigger level, in which case par plus return of worst-performing index, with full exposure to losses
Call:	At par plus 14.55% per year if each index closes at or above its initial level on May 25, 2016, May 18, 2017 or May 18, 2018
Initial levels:	6,968.87 for FTSE and 3,589.22 for Euro Stoxx
Trigger levels:	5,923.5395 for FTSE and 3,050.837 for Euro Stoxx; 85% of initial levels
Pricing date:	May 18
Settlement date:	May 21
Agent:	J.P. Morgan Securities LLC
Fees:	2.5%
Cusip:	48125USJ2

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