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JPMorgan plans dual directional contingent buffer notes on two indexes
By Susanna Moon
Chicago, July 24 – JPMorgan Chase & Co. plans to price 0% dual directional contingent buffered equity notes due July 30, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filed with the Securities and Exchange Commission.
If each index finishes above its initial level, the payout at maturity will be par plus any gain of the worse performing index.
If either index falls but by no more the 40% contingent buffer, the payout will be par plus the absolute value of the return of the worse performing index.
Otherwise, the payout will be par plus the return of the worse performing index, with full exposure to any losses.
J.P. Morgan Securities LLC is the agent.
The notes will price on July 27 and settle on July 30.
The Cusip number is 48125UD33.
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