JPMorgan plans return enhanced notes linked to S&P 500, Russell 2000

By Devika Patel

Knoxville, Tenn., Dec. 14 – JPMorgan Chase & Co. plans to price 0% uncapped contingent buffered return enhanced notes due Dec. 28, 2020 linked to the least 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 value of each index is positive, the payout at maturity will be par plus an upside leverage factor of at least 1.85 times any gain in the lesser performing index. The exact upside leverage factor will be set at pricing.

If either index declines but both indexes remain above 70% of their initial level the payout will be par.

Otherwise, investors will be exposed to any declines of the lesser-performing index.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48128GFV7) will price on Dec. 22 and settle on Dec. 28.

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