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JPMorgan plans dual directional contingent buffered notes on indexes
By Angela McDaniels
Tacoma, Wash., Sept. 17 – JPMorgan Chase & Co. plans to price 0% dual directional contingent buffered return enhanced notes due Sept. 24, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
If the final level of each index is greater than its initial level, the payout at maturity will be par plus 100% to 105% of the return of the lesser-performing index. The exact upside leverage factor will be set at pricing.
If the final level of either index is equal to its initial level or less than its initial level by up to 50%, 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 50%, investors will lose 1% for every 1% that the lesser-performing index’s final level is less than its initial level.
J.P. Morgan Securities LLC is the agent.
The notes are expected to price Sept. 21 and settle Sept. 24.
The Cusip number is 48125U4U3.
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