JPMorgan plans contingent income autocallables linked to three indexes

By Angela McDaniels

Tacoma, Wash., April 2 - JPMorgan Chase & Co. plans to price contingent income autocallable securities due April 16, 2019 linked to the worst performing of the Euro Stoxx Banks index, the Russell 2000 index and the Topix index, according to an FWP filing with the Securities and Exchange Commission.

If each index closes at or above its barrier level, 75% of its initial index level, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 10%.

The notes will be called at par plus the contingent coupon if each index closes at or above its respective initial level on any quarterly redemption determination date.

If any index finishes below its downside threshold level, 55% of its initial level, investors will be fully exposed to the decline of the worst-performing index. Otherwise, the payout at maturity will be par plus the final contingent coupon, if any.

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

The notes are expected to price April 11.

The Cusip number is 48127F889.

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