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

By Angela McDaniels

Tacoma, Wash., Aug. 2 – JPMorgan Chase Financial Co. LLC plans to price 0% digital notes due Sept. 13, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by JPMorgan Chase & Co.

A trigger event occurs if either index closes below its trigger value, 60% of its initial level, on any day during the life of the notes.

If a trigger event has not occurred, the payout will be par plus the contingent digital return, which is expected to be at least 5.7% and will be set at pricing.

If a trigger event has occurred and each index finishes at or above its initial level, the payout will be par.

If a trigger event has occurred and either index finishes below its initial level, investors will have one-to-one exposure to the decline of the lesser-performing index.

J.P. Morgan Securities LLC is the agent.

The notes will price Aug. 8.

The Cusip number is 46646ETD4.

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