JPMorgan plans capped dual directional buffered equity notes on S&P, Russell

By Sarah Lizee

Olympia, Wash., Aug. 27 – JPMorgan Chase Financial Co. LLC plans to price 0% capped dual directional buffered equity notes due Aug. 31, 2021 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.

If each index finishes above its initial level, the payout at maturity will be par plus the lesser-performing index’s return, subject to a maximum upside return of 21.5%.

If the final level of one index is greater than its initial level and the final level of the other index is equal to its initial level or is less than its initial level by up to 15% or if the final level of each index is equal to its initial level or is less than its initial level by up to 15%, 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 15%, investors will lose 1% for every 1% that the lesser-performing index declines beyond 15%.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

The notes will price on Aug. 30.

The Cusip number is 48132CN82.

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