JPMorgan plans dual directional contingent buffered notes on S&P 500

By Angela McDaniels

Tacoma, Wash., April 1 – JPMorgan Chase & Co. plans to price 0% capped dual directional contingent buffered return enhanced notes due April 30, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the initial index level, the payout at maturity will be par plus 1.2 times the index return, subject to a maximum return that is expected to be at least 40% and will be set at pricing.

If the final index level is equal to the initial level or less than the initial level by up to 30%, the payout will be par plus the absolute value of the index return.

If the final index level is less than the initial level by more than 30%, investors will lose 1% for every 1% that the index’s final level is less than its initial level.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price April 26.

The Cusip number is 48128GVD9.

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