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

By Marisa Wong

Madison, Wis., May 6 – JPMorgan Chase & Co. plans to price 0% capped dual directional contingent buffered return enhanced notes due May 29, 2020 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

If the final index level is greater than the initial level, the payout at maturity will be par plus 1.1 times the index return, subject to a maximum return of at least 50%. The exact cap will be set at pricing.

If the final index level is less than the initial level and falls by up to 35%, the payout will be par plus the absolute value of the index return.

If the final index level is less than the initial index level by more than 35%, investors will be fully exposed to the index level decline.

J.P. Morgan Securities LLC is the agent.

The notes will price May 26 and settle May 29.

The Cusip number is 48125UPV8.

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