JPMorgan plans contingent buffered step-up autocalls on Russell, Stoxx

By Susanna Moon

Chicago, July 10 – JPMorgan Chase Financial Co. LLC plans to price 0% step-up autocallable contingent buffered equity notes due July 31, 2023 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 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 13% 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 102% of the initial level on the first review date, stepping up by 200 basis points on each subsequent review date.

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

If either asset falls by up to its 50% contingent buffer, the payout will be par.

Otherwise, investors will lose 1% for each 1% 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 July 26.

The Cusip number is 48129M7F7.

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