JPMorgan to price capped dual directional buffered notes on indexes

By Devika Patel

Knoxville, Tenn., Sept. 20 – JPMorgan Chase Financial Co. LLC plans to price 0% capped dual directional contingent buffered return enhanced notes due Sept. 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.

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 1.2 times the return of the lesser-performing index, subject to a maximum payout of at least $1,190 per $1,000 of notes. The exact cap 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 36%, 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 36%, 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: 46647MZ55) are expected to price on Sept. 29 and settle on Oct. 4.

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