New Issue: JPMorgan sells $1.73 million contingent buffered autocallables tied to S&P, Russell

By Susanna Moon

Chicago, Jan. 21 – JPMorgan Chase & Co. priced $1.73 million of 0% autocallable contingent buffered return enhanced notes due Jan. 19, 2018 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 with the Securities and Exchange Commission.

The notes will be called at par plus a premium of 14.9% if each index closes at or above the initial level on the call date.

If each index finishes above its initial level, the payout at maturity will be par plus 1.5 times the gain of the worse performing index.

If either index falls but by no more than the 25% contingent buffer, the payout will be par.

Otherwise, the payout will be par plus the return of the worse performing index, with full exposure to any losses.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable contingent buffered return enhanced notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$1,725,000
Maturity:	Jan. 19, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If each index gains, par plus 1.5 times the return of the worse performing index; if either index falls but by no more than 25%, par; otherwise, par plus the return, with full exposure to any losses
Call:	At par plus a premium of 14.9% if each index closes at or above the initial level on Jan. 23, 2017
Initial levels:	1,880.33 for S&P and 1,007.725 for Russell
Contingent buffer:	25%
Pricing date:	Jan. 15
Settlement date:	Jan. 21
Agent:	J.P. Morgan Securities LLC
Fees:	2%
Cusip:	48128GKL3

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