JPMorgan plans autocallable notes linked to Russell, Stoxx Europe

By Toni Weeks

San Luis Obispo, Calif., June 5 – JPMorgan Chase & Co. plans to price 0% autocallable notes due June 30, 2017 linked to the lesser performing of the Russell 2000 index and the Stoxx Europe 600 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called automatically at par plus a call premium of at least 13% per year if each index closes at or above its initial price on any of three annual call dates. The exact call level 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 barrier level, 80% of its initial level, then the payout at maturity will be par. If either index finishes below its barrier level, investors will share fully in the losses of the least-performing index.

The notes (Cusip: 48127DLQ9) are expected to price June 25 and settle June 30.

J.P. Morgan Securities LLC is the agent.

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