JPMorgan plans contingent buffer step-up autocallables linked to indexes

By Susanna Moon

Chicago, June 14 – JPMorgan Chase Financial Co. LLC plans to price 0% step-up autocallable contingent buffered equity notes due June 30, 2022 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 plus an annual premium of 8% if each index closes at or above its call level on any annual review date other than the final date. The call level will be 104% of its initial level, stepping up by 4% on each subsequent review date, up to a final level of 116% of its initial level on the fourth review date.

If each index finishes at or above its initial level, the payout at maturity will be par plus 1.1 times the gain of the worse performing index.

If either index falls by up to 50%, the payout will be par.

If either index falls by more than the contingent buffer, investors will be fully exposed to the decline of the worse performing index.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

The notes will price on June 27 and settle on June 30.

The Cusip number is 46647MFZ1.

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