JPMorgan plans to price review notes linked to S&P 500, Russell 2000

By Marisa Wong

Madison, Wis., Oct. 6 – JPMorgan Chase & Co. plans to price 0% review notes due Oct. 31, 2017 linked to the lesser 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 called at par plus a premium of at least 9.25% per year if each index closes at or above its initial level on any annual review date. The exact call premium will be set at pricing.

If the notes are not called and the final level of each index is less than its initial level by up to 25%, the payout at maturity will be par. If the final level of either index is less than its initial level by more than the 25% buffer, investors will be fully exposed to the decline of the worse performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price on Oct. 28 and settle on Oct. 31.

The Cusip number is 48127DH92.

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