New Issue: JPMorgan prices $2 million single review notes tied to S&P 500, Russell

By Jennifer Chiou

New York, Feb. 21 - JPMorgan Chase & Co. priced $2 million of 0% single review notes due Jan. 5, 2016 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a premium of 24.6% if each index closes at or above its initial level on Dec. 30, 2015.

If the notes are not called and the lesser-performing index falls by up to 40%, the payout at maturity will be par. Otherwise, investors will be fully exposed to losses.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Single review notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$2 million
Maturity:	Jan. 5, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	Par unless the lesser-performing index falls by more than 40%, in which case investors will have full exposure to losses
Initial levels:	1,519.79 for S&P 500, 923.15 for Russell
Buffer amount:	40%
Call:	At par plus 24.6% on Dec. 30, 2015 if each index closes at or above initial level
Pricing date:	Feb. 15
Settlement date:	Feb. 21
Agent:	J.P. Morgan Securities LLC
Fees:	1.5%
Cusip:	48126DXL8

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