JPMorgan plans contingent income autocallables linked to three indexes

By Toni Weeks

San Luis Obispo, Calif., March 17 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due March 30, 2022 linked to the S&P 500 index, the Euro Stoxx 50 index and the Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of at least 8.5% if each index closes at or above its 75% coupon barrier level on a determination date for that quarter.

The notes will be redeemed at par plus the contingent coupon if each index closes at or above its initial level on any quarterly determination date other than the final determination date.

If the notes are not called, the payout at maturity will be par plus the final contingent coupon, if any, if each index finishes at or above its downside threshold level, 63% of its initial level. If any index finishes below its downside threshold level, investors will receive par plus the return of the worst-performing index, with full exposure to losses.

The notes (Cusip: 48127T855) are expected to price March 25

J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC will handle distribution.

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