JPMorgan to price contingent income autocallables on three indexes

By Marisa Wong

Morgantown, W.Va., Aug. 7 – JPMorgan Chase Financial Co. LLC plans to price contingent income autocallable securities due Feb. 13, 2020 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

The notes will pay a contingent quarterly payment at a rate of 10.75% per year if each index closes at or above its downside threshold level, 70% of its initial index level, on each day during that quarter.

The notes will be called at par if the closing level of each index is greater than or equal to its initial level on any quarterly determination date other than the final one.

If each index finishes at or above its downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level.

J.P. Morgan Securities LLC is the agent, with Morgan Stanley Wealth Management handling distribution.

The notes will price on Aug. 8.

The Cusip number is 46647MK77.

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