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

By Angela McDaniels

Tacoma, Wash., April 1 – JPMorgan Chase & Co. plans to price 0% dual directional contingent buffered return enhanced notes due April 30, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 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 1.15 times the return of the lesser-performing index. The exact upside leveraged factor will be set at pricing.

If the final level of either index is equal to its initial level or is less than its initial level by up to 32%, the payout will be par plus the absolute value of the return of the lesser-performing index.

If the final level of either index is less than its initial level by more than 32%, investors will be fully exposed to the decline of the lesser-performing index.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price April 26.

The Cusip number is 48128GVG2.

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