JPMorgan will price contingent income autocallables on three indexes

By Devika Patel

Knoxville, Tenn., July 12 – JPMorgan Chase Financial Co. LLC plans to price contingent income autocallable securities due July 16, 2020 linked to the worst performing of the Nikkei 225 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 are guaranteed by JPMorgan Chase & Co.

Each quarter, the notes will pay a contingent quarterly payment at a rate of at least 9.2% per year if each index closes at or above its downside threshold level, 75% of its initial index level, on the determination date for that quarter. The exact coupon will be set at pricing.

Beginning Oct. 15, JPMorgan may call the notes at par of $1,000 plus the contingent coupon on any quarterly determination date other than the final one if the closing level of each index is greater than or equal to its initial level.

If each index finishes at or above its 75% 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 (Cusip: 48129ML46) will price on July 13 and settle four days after pricing.

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