JPMorgan plans step-up autocall contingent buffered notes on indexes

By Susanna Moon

Chicago, Aug. 15 – JPMorgan Chase Financial Co. LLC plans to price step-up autocallable contingent buffered return enhanced notes due Sept. 3, 2024 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annual call premium of 8% if each index closes at or above its call level on an annual review date. The call level will be 102.75% of the initial level on the first review date, stepping up by 225 basis points on each subsequent observation date to a final level of 116.5% on the sixth review date.

If the notes are not called, the payout at maturity will be par plus 1.5 times any gain of the worse performing index.

Investors will receive par if each index falls by no more than 50% and will be fully exposed to any losses of the worse performing index if it falls by more than the contingent buffer.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

The notes will price on Aug. 28.

The Cusip number is 46647MH22.

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