JPMorgan plans capped contingent buffered return notes on S&P 500, EM ETF

By Wendy Van Sickle

Columbus, Ohio, July 20 – JPMorgan Chase Financial Co. LLC plans to price 0% capped contingent buffered return enhanced notes due July 26, 2021 linked to the lesser performing of the S&P 500 index and the iShares MSCI Emerging Markets ETF, according to an FWP filing with the Securities and Exchange Commission.

If each asset finishes above its initial level, the payout at maturity will be par plus 1.4 times the worse performing asset gain, up to a maximum return of at least 55%. The exact cap will be set at pricing.

If either asset falls by up to the 25% contingent buffer, the payout will be par. Investors will be fully exposed to losses of the worse performing asset if it falls by more than the 25% contingent buffer.

J.P. Morgan Securities LLC is the agent.

The notes are guaranteed by JPMorgan Chase & Co.

The notes will price July 21 and settle July 26.

The Cusip number is 46647MME0.

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