New Issue: JPMorgan prices $406,000 review notes linked to S&P 500, Russell 2000

By Toni Weeks

San Luis Obispo, Calif., April 29 – JPMorgan Chase & Co. priced $406,000 of 0% review notes due April 30, 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 75% trigger level, the payout at maturity will be par.

Otherwise, investors will be exposed to the decline of the worst-performing index from its initial level.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Review notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$406,000
Maturity:	April 30, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If notes are not called and final level of each index is less than initial level by no more than 25%, par; otherwise, 1% loss for each 1% that lesser-performing index’s final level is less than initial level
Call:	Automatically at par plus 9% per year if each index closes at or above initial level on May 4, 2016, April 25, 2017 or April 25, 2018
Initial index levels:	2,108.92 for S&P 500 and 1,252.7 for Russell 2000
Trigger levels:	75% of initial levels
Pricing date:	April 27
Settlement date:	April 30
Agent:	J.P. Morgan Securities LLC
Fees:	3.06342%
Cusip:	48125ULN0

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