JPMorgan plans dual directional contingent buffered notes on indexes

By Marisa Wong

Madison, Wis., May 4 – JPMorgan Chase & Co. plans to price 0% dual directional contingent buffered return enhanced notes due May 31, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If the final level of each index is greater than its initial level, the payout at maturity will be par plus at least 1.1 times the return of the lesser-performing index. The exact upside leverage factor will be set at pricing.

If the final level of either index is equal to its initial level or less than its initial level by up to 32.5%, the payout will be par plus the absolute value of the lesser-performing index’s return.

If the final level of either index is less than its initial level by more than 32.5%, investors will lose 1% for every 1% that the lesser-performing index’s final level is less than its initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 26 and settle on May 29.

The Cusip number is 48125UPX4.

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