JPMorgan to price dual directional buffered notes on indexes

By Devika Patel

Knoxville, Tenn., July 13 – JPMorgan Chase Financial Co. LLC plans to price 0% dual directional contingent buffered return enhanced notes due July 29, 2022 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 1.27 times the return of the lesser-performing index. The exact participation rate will be set at pricing.

If the final level of the lesser-performing index is equal to its initial level or less than its initial level by up to 35%, 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 35%, 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: 46647MUR2) are expected to price on July 26 and settle on July 31.

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