JPMorgan plans contingent buffered autocallables tied to S&P, Russell

By Sarah Lizee

Olympia, Wash., June 17 – JPMorgan Chase Financial Co. LLC plans to price 0% autocallable contingent buffered equity notes due June 28, 2024 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 guaranteed by JPMorgan Chase & Co.

The notes will be automatically called at par plus a call premium if each index closes at or above its initial level on any annual review date. The call premium is expected to be at least 7% per year and will be set at pricing.

If the notes have not been called and the final level of each index is greater than its initial level, the payout at maturity will be par plus the return of the lesser-performing index.

If the final level of one index is greater than its initial level and the final level of the other index is equal to its initial level or is less than its initial level by up to 40% or if the final level of each index is equal to its initial level or is less than its initial level by up to 40%, the payout will be par.

If the final level of either index is less than its initial level by more than 40%, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price June 25.

The Cusip number is 48132CPM9.

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