JPMorgan to price contingent income autocallables linked to indexes

By Angela McDaniels

Tacoma, Wash., Oct. 21 – JPMorgan Chase Financial Co. LLC plans to price contingent income autocallable securities due Nov. 4, 2021 linked to the least performing of the Nikkei 225 index, the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if each index closes at or above its downside threshold level, 80% of its initial level, on the determination date for that quarter. The contingent coupon rate is expected to be at least 10.1% per year and will be set at pricing.

The notes will be automatically called at par if each index closes at or above its initial level on any quarterly determination date.

The payout at maturity will be par unless any index finishes below its downside threshold level, in which case investors will lose 1% for every 1% that the least-performing index declines from its initial level.

The notes will be guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.

The notes will price Oct. 31.

The Cusip number is 48132FZE9.

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