JPMorgan plans autocallable notes on Russell 2000, Nikkei 225

By Toni Weeks

San Luis Obispo, Calif., March 5 – JPMorgan Chase & Co. plans to price autocallable notes due March 9, 2018 linked to the lesser performing of the Russell 2000 index and the Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of at least 12.5% if each component closes at or above the applicable call level on any annual call valuation date beginning March 14, 2016. The exact call premium will be set at pricing. The call level is 100% of the initial value on the first annual call valuation date, 95% of the initial value on the second call valuation date and 90% of the initial value on the final call valuation date.

If the notes are not called and each component finishes at or above its trigger level, 75% of the initial level, the payout at maturity will be par.

Otherwise, investors will be fully exposed to any losses of the worst-performing component.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price March 6 and settle March 11.

The Cusip number is 48125UHT2.

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