JPMorgan plans return enhanced notes linked to S&P 500, Russell 2000

By Devika Patel

Knoxville, Tenn., Sept. 26 – JPMorgan Chase Financial Co. LLC plans to price 0% uncapped contingent buffered return enhanced notes due Sept. 30, 2022 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

If each index finishes above its upside threshold level, which is expected to be at least 122.5% of its initial level, the payout at maturity will be par plus a contingent minimum return of at least 22.5% plus 1.2 times the gain of the lesser-performing index beyond the contingent minimum return. The exact upside threshold level and contingent minimum return will be set at pricing.

If both indexes finish above the buffer level of 60% of their respective initial levels but at least one index finishes at or below its upside threshold level, the payout will be par plus the contingent minimum return.

Otherwise, investors will lose 1% for each 1% decline of the lesser-performing index from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 46647MY98) will price on Sept. 29 and settle on Oct. 4.

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