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

By Marisa Wong

Madison, Wis., April 27 – JPMorgan Chase & Co. plans to price 0% review notes due May 28, 2019 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 8.25% to 8.75% per year if each index closes at or above its initial level on June 8, 2016, May 22, 2017, May 22, 2018 or May 22, 2019. The exact 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 30%, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% that the lesser-performing index’s final level is less than its initial level.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price May 22 and settle June 1.

The Cusip number is 48125UPE6.

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