JPMorgan plans dual directional review notes linked to S&P, Russell

By Angela McDaniels

Tacoma, Wash., Sept. 30 – JPMorgan Chase & Co. plans to price 0% dual directional review notes due April 6, 2017 linked to the least performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of at least 11.4% if each index closes at or above its initial level on April 4, 2016, Oct. 3, 2016 or April 3, 2017. For each index, the initial level is its closing level on Sept. 28.

If the notes are not called and the return of each index is negative 20% or greater, the payout at maturity will be par plus the absolute value of the return of the lesser-performing index. Otherwise, investors will lose 1.25% for every 1% that the lesser-performing index declines beyond 20%.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Oct. 2 and settle Oct. 7.

The Cusip number is 48125U6C1.

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