JPMorgan plans capped buffered return enhanced notes on indexes, ETF

By Wendy Van Sickle

Columbus, Ohio, Sept. 12 – JPMorgan Chase Financial Co. LLC plans to price 0% capped buffered return enhanced notes due April 5, 2021 linked to a basket of three indexes and one exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The basket consists of the MSCI EAFE index with a 50% weight, the S&P MidCap 400 index with a 27% weight, the iShares MSCI Emerging Markets ETF with a 13% weight and the Russell 2000 index with a 10% weight.

If the basket return is positive, the payout at maturity will be par plus 1.42 to 1.5 times the basket return, up to a maximum return that is expected to be 63.9% to 67.5%. The excact leverage amount and cap will be set at pricing. Investors will receive par if the basket declines by 25% or less and will lose 1.33333% for every 1% that the basket declines beyond 25%.

J.P. Morgan Securities LLC is the agent.

The notes will price Sept. 30.

The Cusip number is 46646EYY2.

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