New Issue: JPMorgan prices $5.97 million review notes on S&P 500, Russell 2000

By Marisa Wong

Madison, Wis., May 27 – JPMorgan Chase & Co. priced $5.97 million of 0% review notes due May 28, 2019 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 8.5% if each index closes at or above its initial level on any of four annual review dates.

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

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:	$5,972,000
Maturity:	May 28, 2019
Coupon:	0%
Price:	Par
Payout at maturity:	If notes are not called and each index finishes at or above trigger level, par plus 10%; otherwise, 1% loss for each 1% that lesser-performing index’s final level is less than initial level
Call:	Automatically at par plus 8.5% per year if each index closes at or above initial level on June 8, 2016, May 22, 2017, May 22, 2018 or May 22, 2019
Initial index levels:	2,126.06 for S&P 500 and 1,252.224 for Russell 2000
Trigger levels:	1,488.242 for S&P 500 and 876.5568 for Russell 2000, 70% of initial levels
Pricing date:	May 22
Settlement date:	June 1
Agent:	J.P. Morgan Securities LLC
Fees:	2.4%
Cusip:	48125UPE6

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