JPMorgan plans contingent buffered step-up autocalls on S&P, Russell

By Susanna Moon

Chicago, May 8 – JPMorgan Chase Financial Co. LLC plans to price 0% step-up autocallable contingent buffered equity notes due May 31, 2023 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 will be called at par of $1,000 plus an annual call premium of 8% if each index closes at or above its call level on an annual review date other than the final date. The call level will be 103% of the initial level on the first review date, stepping up by 300 basis points on each subsequent review date to 112% on the fourth review date.

The payout at maturity will be par plus any gain of the worse performing index.

Investors will receive par if either index falls by up to 50%.

Otherwise, investors will lose 1% for each 1% decline of the worse performing index if it falls by more than its 50% contingent buffer.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 29 and settle on May 31.

The Cusip number is 48129MQN9.

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