JPMorgan plans contingent buffer step-up autocalls tied to two indexes

By Susanna Moon

Chicago, Oct. 2 – JPMorgan Chase Financial Co. LLC plans to price 0% step-up autocallable contingent buffered return enhanced notes due Oct. 31, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The notes will be called at par plus an annualized premium of 8% if each index closes above its call level on any annual review date other than the final date. The call level will be 102.5% of the initial level on the first review date, stepping up by 2.5% on each subsequent review date to a final date of 115% on the on the sixth review date.

If each index finishes above its initial level, the payout at maturity will be par plus 1.5 times the gain of the worse performing index.

If either index falls but by no more than the 50% buffer, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline of the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Oct. 26 and settle on Oct. 31.

The Cusip number is 48129HBT3.

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