JPMorgan plans contingent income autocallables linked to indexes

By Angela McDaniels

Tacoma, Wash., Sept. 21 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Sept. 27, 2018 linked to the MSCI EAFE index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of 9.75% if each index closes at or above its downside threshold level, 80% of its initial index level, on the determination date for that quarter.

The notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial index level on any quarterly determination date other than the final one.

If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of either index is less than its downside threshold level, investors will be fully exposed to the decline of the lower-performing index.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.

The notes will price Sept. 24.

The Cusip number is 48127Y821.

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