JPMorgan plans step-down contingent interest notes linked to indexes

By Sarah Lizee

Olympia, Wash., July 17 – JPMorgan Chase Financial Co. LLC plans to price autocallable step-down contingent interest notes due July 29, 2022 linked to the least performing of the S&P 500 index, the Russell 2000 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 trigger value, 70% of its initial level, on the review date for that quarter. The contingent coupon rate will be at least 8% per year in the first year and 5% per year after that. The exact contingent coupon rate for the first year will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date other than the first and final review dates.

If the notes have not been called, the payout at maturity will be par unless either index finishes below its trigger value, in which case investors will lose 1% for every 1% that the least-performing index finishes below its initial level.

The notes will be guaranteed by JPMorgan Chase & Co.

The agent is J.P. Morgan Securities LLC.

The notes will price July 31.

The Cusip number is 48132C3T8.

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