JPMorgan plans dual directional contingent buffered notes on indexes

By Devika Patel

Knoxville, Tenn., March 15 – JPMorgan Chase Financial Co. LLC plans to price 0% dual directional contingent buffered return enhanced notes due March 31, 2021 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.

The notes will be guaranteed by JPMorgan Chase & Co.

If the final level of each index is greater than its initial level, the payout at maturity will be par plus at least 1.25 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 30%, 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 30%, 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 (Cusip: 46646QM36) are expected to price on March 28 and settle on March 31.

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