JPMorgan plans three-year autocallables linked to S&P 500, Euro Stoxx

By Susanna Moon

Chicago, June 30 – JPMorgan Chase & Co. plans to price 0% autocallable notes due July 7, 2017 linked to 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 annualized call premium of at least 11% 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.

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

J.P. Morgan Securities LLC is the agent.

The notes will price on July 2 and settle on July 8.

The Cusip number is 48127DRE0.

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