JPMorgan eyes dual directional buffered return enhanced notes on S&P, Russell

By Sarah Lizee

Olympia, Wash., Oct. 24 – JPMorgan Chase Financial Co. LLC plans to price 0% uncapped dual directional buffered return enhanced notes due Oct. 31, 2024 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.

The notes are guaranteed by JPMorgan Chase & Co.

If each index finishes above its initial level, the payout at maturity will be par plus 1.05 times the lesser-performing index’s return.

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 20% or if the final level of each index is equal to its initial level or is less than its initial level by up to 20%, the payout will be par plus 50% of 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 20%, investors will lose 1% for every 1% that the lesser-performing index declines beyond 20%.

J.P. Morgan Securities LLC is the agent.

The notes will price on Oct. 28.

The Cusip number is 48132FQM1.

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