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

By Angela McDaniels

Tacoma, Wash., Aug. 16 - JPMorgan Chase & Co. plans to price 0% review notes due Aug. 31, 2016 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a call premium if each underlying component closes at or above its initial level on Sept. 26, 2014, Aug. 27, 2015 or Aug. 29, 2016. The call premium is expected to be at least 12% for the first call date, at least 24% for the second call date and at least 36% for the third call date. The exact call premiums will be set at pricing.

If the notes have not been called and the final level of each underlying component is less than its initial level by up to 30%, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the final level of the worst-performing underlying component is less than its initial level.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Aug. 28 and settle Aug. 30.

The Cusip number is 48126NNW3.

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