JPMorgan plans annual autocallable notes on Hang Seng China Enterprises, iShares MSCI EM

By Marisa Wong

Madison, Wis., April 4 - JPMorgan Chase & Co. plans to price 0% annual autocallable notes due April 29, 2016 linked to the lesser performing of the Hang Seng China Enterprises index and the iShares MSCI Emerging Markets index fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus a call premium of at least 12.25% per year if both the index and fund close at or above the call level on an annual call valuation date. The call level will be equal to the initial level on April 25, 2014 and April 27, 2015, the first and second call valuation dates, and will be equal to 90% of the initial level on April 26, 2016, the final call valuation date.

The payout at maturity will be par if the final level of the lesser-performing underlying is at least 70% of the initial level. Otherwise, investors will be fully exposed to that decline.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price on April 25 and settle on April 30.

The Cusip number is 48126DK40.

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