JPMorgan eyes dual directional contingent buffered notes on indexes

By Sarah Lizee

Olympia, Wash., Aug. 21 – JPMorgan Chase Financial Co. LLC plans to price 0% capped dual directional contingent buffered equity notes due March 3, 2022 linked to the lesser performing of the Dow Jones industrial average, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes at or above the initial level, the payout at maturity will be par plus the return of the lesser-performing index, capped at par plus 15.8%.

If either index falls but by no more than the 30% contingent buffer, the payout will be par plus the absolute value of the return of the lesser-performing index.

If either index falls by more than 30%, investors will lose 1% for each 1% decline of the lesser-performing index.

The notes are guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

The notes will price on Aug. 26.

The Cusip number is 48132M7D7.

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