JPMorgan plans contingent income autocallables linked to three indexes

By Angela McDaniels

Tacoma, Wash., Dec. 1 – JPMorgan Chase Financial Co. LLC plans to price contingent income autocallable securities due Dec. 20, 2022 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

Each quarter, the notes will pay a contingent coupon if each index closes at or above its downside threshold level, 67.5% of its initial level, on the determination date for that quarter. The contingent coupon rate is expected to be at least 6.15% per year and will be set at pricing.

Beginning June 15, 2018, the notes will be automatically called at par plus the related contingent coupon if each index closes at or above its initial level on any quarterly determination date other than the final determination date.

The payout at maturity will be par unless the final level of any index is less than its downside threshold level, in which case investors will lose 1% for each 1% that the least-performing index declines from its initial level.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.

The notes will price Dec. 15.

The Cusip number is 48129HTN7.

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