JPMorgan plans uncapped dual directional notes linked to Russell, S&P

By Angela McDaniels

Tacoma, Wash., Oct. 7 – JPMorgan Chase Financial Co. LLC plans to price 0% uncapped dual directional contingent buffered return enhanced notes due April 30, 2024 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 above its initial level, the payout at maturity will be par plus at least 112% of the return of the lesser-performing index. The exact upside leverage factor will be set at pricing.

If (a) the final level of one index is greater than its initial level and the final level of the other index is equal to its initial level or is less than its initial level by up to 30% or if (b) the final level of each index is equal to its initial level or is less than its initial level by up to 30%, the payout will be par plus the absolute value of the lesser-performing index’s return.

If the final level of either index is less than its initial level by more than 30%, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.

The notes will be guaranteed by JPMorgan Chase & Co.

J.P. Morgan Securities LLC is the agent.

The notes will price Oct. 28.

The Cusip number is 48132FQE9.

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