JPMorgan Stanley plans contingent income autocallable notes on indexes

By Wendy Van Sickle

Columbus, Ohio, March 14 – JPMorgan Chase Financial Co. LLC plans to price contingent income autocallable securities due April 2, 2020 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

Each quarter, the notes will pay a contingent coupon at the rate of at least 8.5% per year if each index closes at or above its coupon barrier level, 80% of its initial level, on the observation date that quarter.

The notes will be automatically called at par plus the coupon if both indexes close above their initial values on any of the quarterly redemption observation dates other than the final one.

At maturity, investors will receive par plus the coupon if neither index closes below its 80% downside threshold level for the life of the notes.

If any index finishes below the 80% downside threshold level, investors will be exposed to the decline of the least-performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on March 29.

The Cusip number is 48130WJ51.

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