New Issue: JPMorgan prices $1.69 million review notes linked to S&P 500, Russell

By Marisa Wong

Morgantown, W.Va., Oct. 14 – JPMorgan Chase & Co. priced $1.69 million of 0% dual directional review notes due Oct. 12, 2018 linked to the least performing of the Russell 2000 index and the S&P 500 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 11.75% if each index closes at or above its initial level on Oct. 17, 2016, Oct. 10, 2017 or Oct. 9, 2018.

If the notes are not called, the payout at maturity will be par unless either index falls by more than 10%, in which case investors will lose 1% for every 1% decline of the lesser performing index beyond the 10% buffer.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Dual directional review notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$1,693,000
Maturity:	Oct. 12, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	Par unless either index falls by more than 10%, in which case 1% loss for every 1% decline of the lesser performing index beyond the 10% buffer
Call:	Automatically at par plus 11.75% per year if each index closes at or above initial level on Oct. 17, 2016, Oct. 10, 2017 or Oct. 9, 2018
Initial index levels:	2,014.89 for S&P 500 and 1,165.356 for Russell 2000
Pricing date:	Oct. 9
Settlement date:	Oct. 14
Agent:	J.P. Morgan Securities LLC
Fees:	0.4%
Cusip:	48128GAC4

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