New Issue: JPMorgan prices $5.38 million autocallable notes linked to S&P 500, Euro Stoxx 50

By Toni Weeks

San Luis Obispo, Calif., July 7 – JPMorgan Chase & Co. priced $5.38 million of 0% autocallable notes due July 7, 2017 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called automatically at par plus a call premium of 11.3% per year if each index closes at or above its initial price on any of three annual call dates.

If the notes have not been called and the final level of each index is greater than or equal to its barrier level, 75% 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.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable notes
Underlying indexes:	S&P 500 and Euro Stoxx 50
Amount:	$5,375,000
Maturity:	July 7, 2017
Coupon:	0%
Price:	Par
Call:	Par plus annualized call premium of 11.3% if both indexes finish at or above their initial levels on annual call date
Payout at maturity:	Par unless either index finishes below barrier level, in which case full exposure to least-performing index
Initial levels:	1,974.62 for S&P, 3,252.25 for Euro Stoxx
Barrier levels:	1,480.965 for S&P, 2,439.1875 for Euro Stoxx, 75% of initial levels
Pricing date:	July 2
Settlement date:	July 8
Agent:	J.P. Morgan Securities LLC
Fees:	2.25%
Cusip:	48127DRE0

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