JPMorgan to price contingent income autocallables linked to indexes

By Tali Rackner

Norfolk, Va., Jan. 11 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Jan. 21, 2021 linked to the worst performing of the S&P 500 index and the Russell 2000 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 7.15% if each index closes at or above its downside threshold level, 60% of its initial level, on the observation date for that quarter. The exact rate will be set at pricing.

The notes will be called at par plus the contingent coupon if each index closes at or above its redemption threshold level, 105% of its initial level, on any determination date other than the first and final dates.

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 least-performing index.

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

The notes are expected to price on Jan. 15.

The Cusip number is 48128A459.

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