JPMorgan plans to price review notes linked to S&P 500, Euro Stoxx 50

By Angela McDaniels

Tacoma, Wash., Sept. 2 – JPMorgan Chase & Co. plans to price 0% review notes due Sept. 28, 2017 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 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 10% per year if each index closes at or above its initial level on Oct. 1, 2015, Sept. 26, 2016 or Sept. 25, 2017. 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 25%, 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 Sept. 25 and settle Sept. 30.

The Cusip number is 48127DWY2.

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