JPMorgan plans contingent buffered notes tied to Russell 2000, S&P 500

By Angela McDaniels

Tacoma, Wash., Nov. 1 – JPMorgan Chase Financial Co. LLC plans to price 0% uncapped contingent buffered return enhanced notes due Nov. 27, 2020 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.

If the final level of each index is greater than its upside leverage threshold, the payout at maturity will be par plus the contingent minimum return plus 1.15% for every 1% that the lesser-performing index’s return exceeds the contingent minimum return. The upside leverage threshold for each index is expected to be at least 121% of its initial level, and the contingent minimum return is expected to be at least 21%. Both will be set at pricing.

If the final level of either index is less than its upside leverage threshold but the final level of each index is greater than or equal to 65% of its initial level, the payout will be par plus the contingent minimum return.

If the final level of either index is less than its initial level by more than 35%, investors will be fully exposed to the decline of the lesser-performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price Nov. 22.

The Cusip number is 46646E4Z2.

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