JPMorgan to price dual directional contingent notes linked to Russell

By Angela McDaniels

Tacoma, Wash., March 2 – JPMorgan Chase & Co. plans to price 0% dual directional contingent buffered return enhanced notes due March 29, 2019 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If the final index level is greater than the initial index level, the payout at maturity will be par plus 1.5 times the index return, subject to a maximum upside return that is expected to be 35% to 45% and will be set at pricing.

If the final index level is less than the initial index level by up to 30%, 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 30%, investors will lose 1% for every 1% that the final index level is less than the initial index level.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price March 26 and settle March 31.

The Cusip number is 48125UHE5.

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