JPMorgan to price contingent income autocallables linked to indexes

By Toni Weeks

San Luis Obispo, Calif., Jan. 29 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Feb. 6, 2020 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly payment of at least 2.25% if the index closes at or above its 75% downside threshold level on the observation date for that quarter. The exact coupon will be set at pricing.

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

The payout at maturity will be par plus the final coupon unless either index finishes below the 75% downside threshold level, in which case investors will be fully exposed to any losses.

The notes (Cusip: 48127R685) are expected to price Feb. 2.

J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management as distributor.

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