JPMorgan plans three-year review notes on S&P 500, Russell 2000

By Susanna Moon

Chicago, Aug. 29 – JPMorgan Chase & Co. plans to price 0% review notes due Sept. 22, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of between 8.4% and 9.4% if each index closes at or above its initial index level on any of three annual review dates. The exact call premium will be set at pricing.

The payout at maturity will be par unless either index finishes below the 70% trigger level in which case investors will lose 1% for every 1% decline of the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Sept. 19 and settle on Sept. 26.

The Cusip number is 48127DYP7.

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