JPMorgan plans capped contingent buffered return notes on S&P, Russell

By Tali Rackner

Norfolk, Va., Aug. 3 – JPMorgan Chase & Co. plans to price 0% capped contingent buffered return enhanced notes due Aug. 17, 2018 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 above its initial level, the payout at maturity will be par plus 1.75 times the worse performing index gain, up to a maximum return of at least 50%. The exact cap will be set at pricing.

If either index falls by up to the 30% contingent buffer, the payout will be par. Investors will be fully exposed to losses of the worse performing index if it falls by more than the 30% contingent buffer.

J.P. Morgan Securities LLC is the agent.

The notes will price Aug. 14 and settle Aug. 19.

The Cusip number is 48125UH88.

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