JPMorgan plans dual directional contingent buffered notes on indexes

By Devika Patel

Knoxville, Tenn., Sept. 21 – JPMorgan Chase & Co. plans to price 0% uncapped digital dual directional contingent buffered equity notes due Sept. 30, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes at or above the initial level, the payout at maturity will be par plus the greater of the gain of the worse performing index and the contingent minimum return, which is expected to be at least 37% and will be set at pricing.

If either index falls but by no more than the 30% contingent buffer, the payout will be par plus the absolute value of the return of the worse performing index.

If either index falls by more 30%, investors will lose 1% for each 1% decline of the worse performing index from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 46647MZ22) will price on Sept. 26 and settle on Sept. 29.

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