JPMorgan plans three-year autocallable notes linked to Stoxx 50, Russell

By Susanna Moon

Chicago, May 8 – JPMorgan Chase Financial Co. LLC plans to price 0% autocallable notes due May 28, 2021 linked to the worse performing of the Euro Stoxx 50 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 call premium of at least 11.8% if each index closes at or above its call level on any of the first three annual review dates. The call level will be 100% of the initial level on the first call valuation date, stepping down to 95% of the initial level on the second valuation date and to 90% on the final valuation date.

If the notes are not called, the payout at maturity will be par unless either index finishes below its 70% trigger level, in which case investors will be fully exposed to any losses 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 May 25.

The Cusip number is 48129MRR9.

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