New Issue: JPMorgan prices $2.03 million dual directional review notes linked to S&P, Russell

By Angela McDaniels

Tacoma, Wash., Dec. 18 – JPMorgan Chase & Co. priced $2.03 million of 0% dual directional review notes due June 20, 2017 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 10% if each index closes at or above its initial level on June 15, 2016, Dec. 15, 2016 or June 15, 2017.

If the notes are not called and the return of each index is negative 20% or greater, the payout at maturity will be par plus the absolute value of the return of the lesser-performing index. Otherwise, investors will lose 1.25% for every 1% that the lesser-performing index declines beyond 20%.

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:	$2,025,000
Maturity:	June 20, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If notes are not called and return of each index is negative 20% or greater, par plus absolute value of return of lesser-performing index; otherwise, 1.25% loss for every 1% that lesser-performing index declines beyond 20%
Call:	Automatically at par plus 10% per year if each index closes at or above initial level on June 15, 2016, Dec. 15, 2016 or June 15, 2017
Initial index levels:	2,043.41 for S&P 500 and 1,131.552 for Russell 2000
Pricing date:	Dec. 15
Settlement date:	Dec. 18
Agent:	J.P. Morgan Securities LLC
Fees:	0.15%
Cusip:	48128GGF1

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