JPMorgan to price capped buffered return enhanced notes on index, ETF

By Devika Patel

Knoxville, Tenn., June 27 – JPMorgan Chase & Co. plans to sell 0% capped buffered return enhanced notes due May 29, 2020 linked to the least performing of the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If the final value of each underlying is positive, the payout at maturity will be par plus an upside leverage factor of at least 2 times any gain in the lesser performing underlying, subject to a maximum payout of 30%. The exact upside leverage factor will be set at pricing.

Investors will receive par if the lesser-performing underlying declines by up to 15% and will be exposed to any declines of the lesser-performing underlying beyond the 15% buffer.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48129M3U8) will price on June 29 and settle on July 5.

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