JPMorgan plans contingent income autocallables linked to three indexes

By Marisa Wong

Madison, Wis., June 4 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Sept. 10, 2018 linked to the worst performing of the Russell 2000 index, the Euro Stoxx 50 index and the MSCI Emerging Markets index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly payment of at least 2.375% if each index closes at or above its downside threshold level, 75% of its initial level, on the observation date for that quarter. The exact coupon will be set at pricing.

The notes will be called at par if each index closes at or above its initial level on any determination date other than the final determination date.

The payout at maturity will be par unless any index finishes below its downside threshold level, in which case investors will be fully exposed to the decline of the worst-performing index.

J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management handling distribution.

The notes are expected to price on June 5.

The Cusip number is 48127X518.

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