JPMorgan plans dual directional contingent buffer notes on two indexes

By Tali Rackner

Norfolk, Va., Jan. 3 – JPMorgan Chase Financial Co. LLC plans to price 0% dual directional contingent buffered return enhanced notes due Jan. 31, 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 each index finishes above the initial level, the payout at maturity will be par plus at least 1.25 times the gain of the worse performing index. The exact upside leverage factor will be set at pricing.

If either index falls but by no more than the 30% contingent buffer, the payout will be par plus the absolute value of the return of the worse performing index.

If either index falls by more 30%, investors will be fully exposed to any losses of the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Jan. 26 and settle on Jan. 31.

The Cusip number is 46646QHJ7.

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