JPMorgan eyes uncapped contingent buffered notes on index, ETF basket

By Sarah Lizee

Olympia, Wash., March 21 – JPMorgan Chase Financial Co. LLC plans to price 0% uncapped contingent buffered return enhanced notes due April 2, 2024 linked to a basket containing the S&P 500 index with a 40% weight, the Russell 2000 index with a 20% weight, the Euro Stoxx 50 index with a 20% weight and the iShares MSCI Emerging Markets ETF with a 20% weight, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The payout at maturity will be par plus a contingent minimum return of at least 15% if the final basket value is greater than or equal to the initial value or is less than the initial value by up to 15%, plus an additional return of 1.35 times any appreciation of the basket above the contingent minimum return.

Investors will receive par if the basket falls beyond 15% but not by more than 40%, and will lose 1% for each 1% decline from the initial level if the basket falls by more than 40%.

J.P. Morgan Securities LLC is the agent.

The notes will price on March 27.

The Cusip number is 48130WL58.

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