JPMorgan plans contingent income autocallables tied to three indexes

By Toni Weeks

San Luis Obispo, Calif., Jan. 21 - JPMorgan Chase & Co. plans to price contingent income autocallable securities due Feb. 5, 2019 linked to the worst performing of the Russell 2000 index, Euro Stoxx 50 index and Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon of at least 2.125% if each index closes at or above its 75% coupon barrier level on a determination date for that quarter. The exact contingent coupon will be set at pricing.

The notes will be redeemed at par plus the contingent coupon if each index closes at or above its respective initial level on any quarterly determination date other than the last date.

If the notes are not called, the payout at maturity will be par plus the final contingent coupon unless any index finishes below its 60% downside threshold level, in which case investors will be fully exposed to the decline of the worst-performing index.

The notes (Cusip: 48127A229) are expected to price Jan. 31 and settle three business days later.

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

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