JPMorgan plans contingent income autocallables linked to Russell 2000

By Toni Weeks

San Luis Obispo, Calif., Jan. 8 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Jan. 26, 2018 linked to the Russell 2000 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% if the index closes at or above its 80% downside threshold level on a determination date for that quarter.

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

If the notes are not called, the payout at maturity will be par plus the final contingent coupon unless the index finishes below its 80% downside threshold level, in which case investors will be fully exposed to the index decline.

The notes (Cusip: 48127R206) are expected to price Jan. 23

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

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