JPMorgan plans contingent income autocallables linked to Russell 2000

By Susanna Moon

Chicago, Sept. 15 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Sept. 28, 2018 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly payment at an annualized rate of at least 8% if the index closes at or above the barrier level, 80% of the initial level, on a determination date for that quarter.

The notes will be called at par of $10 plus the contingent coupon if the index closes at or above the initial share price on any quarterly determination date other than the final determination date.

The payout at maturity will be par plus the final contingent coupon unless the index finishes below the 80% trigger level, in which case investors will be fully exposed to any losses.

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

The notes will price on Sept. 25.

The Cusip number is 48127Y409.

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