JPMorgan plans contingent income autocallables linked to three indexes

By Marisa Wong

Madison, Wis., April 21 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due May 5, 2022 linked to the worst performing of the Russell 2000 index, the Euro Stoxx Banks index and the Hang Seng index, according to an FWP with the Securities and Exchange Commission.

The notes will pay a contingent quarterly payment of at least 2.5% if each index closes at or above the 75% coupon barrier level on the determination date for that quarter.

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

The payout at maturity will be par plus the final coupon unless any index finishes below the 60% downside threshold level, in which case investors will be fully exposed to any losses of the worst-performing index.

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

The notes are expected to price April 30.

The Cusip number is 48127T368.

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