JPMorgan plans knock-out buffered return enhanced notes on indexes

By Angela McDaniels

Tacoma, Wash., Oct. 21 – JPMorgan Chase & Co. plans to price 0% knock-out buffered return enhanced notes due Oct. 26, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If each index finishes at or above its initial level, the payout at maturity will be par plus at least 135% of the return of the lesser performing index. The exact upside leverage factor will be set at pricing.

If either index finishes below its initial level but neither index has declined by more than 40%, the payout will be par.

If either index declines by more than 40%, investors will be fully exposed to the decline of the lesser performing index.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Oct. 22 and settle Oct. 27.

The Cusip number is 48127DN61.

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