JPMorgan plans contingent income autocallables linked to three indexes

By Angela McDaniels

Tacoma, Wash., April 23 – JPMorgan Chase Financial Co. LLC plans to price contingent income autocallable securities due May 5, 2020 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

If each index closes at or above its downside threshold level, 80% of its initial level, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of at least 8.5%. 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 initial level on any quarterly determination date other than the final determination date.

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 every 1% that the least-performing index declines from its initial level.

J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.

The notes are expected to price April 29.

The Cusip number is 48132CDB6.

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