JPMorgan plans contingent income autocallables tied to Russell, S&P

By Wendy Van Sickle

Columbus, Ohio, Dec. 24 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Jan. 4, 2019 based on the worse performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of at least 8.55% if each index closes at or above its downside threshold level, 80% of its initial level, on the observation date for that quarter. The exact contingent coupon rate will be set at pricing.

The notes will be called at par if on any determination date each index closes above its initial level.

The payout at maturity will be par plus the contingent coupon unless either index finishes below its downside threshold level, in which case investors will be fully exposed to the decline of the worse performing index.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.

The notes are expected to price Dec. 30.

The Cusip number is 48128A657.

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