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

By Toni Weeks

San Luis Obispo, Calif., Feb. 3 – JPMorgan Chase & Co. plans to price 0% review notes due March 1, 2018 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 an annualized call premium of at least 9% if each index closes at or above its initial level on any of three annual review dates. The exact call premium will be set at pricing.

If the notes have not been called and each index finishes at or above the 70% barrier level, the payout at maturity will be par.

If either index finishes below the barrier level, investors will receive par plus the return of the worst-performing index, with full exposure to losses.

J.P. Morgan Securities LLC is the agent.

The notes will price on Feb. 24 and settle on Feb. 27.

The Cusip number is 48125UAQ5.

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