New Issue: JPMorgan prices $462,000 review notes linked to S&P 500, Russell 2000

By Susanna Moon

Chicago, Feb. 27 – JPMorgan Chase & Co. priced $462,000 of 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 a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of 9% if each index closes at or above its initial level on any of three annual review dates.

If each index finishes at or above the 70% barrier level, the payout at maturity will be par plus the contingent minimum return of 10%.

Otherwise, investors will be fully exposed to any losses of the worst performing index.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Review notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$462,000
Maturity:	March 1, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If each index finishes at or above barrier, par plus 10%; otherwise, full exposure to any losses of worse performing index
Call:	At par plus 9% per year if each index closes at or above initial level on March 2, 2016, Feb. 24, 2017 or Feb. 26, 2018
Initial index levels:	2,115.48 for S&P and 1,233.975 for Russell
Barrier levels:	1,480.836 for S&P and 863.7825 for Russell; 70% of initial levels
Pricing date:	Feb. 24
Settlement date:	Feb. 27
Agent:	J.P. Morgan Securities LLC
Fees:	3.0303%
Cusip:	48125UAQ5

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