JPMorgan plans contingent income autocallables linked to two ETFs

By Angela McDaniels

Tacoma, Wash., Feb. 13 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due March 3, 2020 linked to the worst performing of the Energy Select Sector SPDR Fund and the SPDR S&P Regional Banking exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If each ETF closes at or above its downside threshold level, 70% of its initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of at least 8%. The exact rate will be set at pricing.

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

If the final share price of each ETF is greater than or equal to its downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, the payout will be par multiplied by the performance factor – the final share price divided by the initial share price – of the worst-performing ETF.

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

The notes are expected to price Feb. 27.

The Cusip number is 48127R347.

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