New Issue: JPMorgan prices $675,000 three-year review notes linked to S&P 500, Euro Stoxx 50

By Toni Weeks

San Luis Obispo, Calif., July 30 – JPMorgan Chase & Co. priced $675,000 of 0% review notes due Aug. 2, 2017 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized call premium of 10% if each index closes at or above its initial index level on any of three annual review dates.

If the notes are not called, the payout at maturity will be par if the final level of each index is at least 75% of its initial level. Otherwise, investors will lose 1% for every 1% decline in the lesser-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, Euro Stoxx 50
Amount:	$675,000
Maturity:	Aug. 2, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	Par if final level of each index is at least 75% of its initial level; otherwise, 1% loss for every 1% decline in lesser-performing index from its initial level
Call:	At par plus annualized call premium of 10% if each index closes at or above its initial level on any of three annual call dates
Initial levels:	1,978.91 for S&P 500, 3,171.55 for Euro Stoxx 50
Buffer amount:	25%
Pricing date:	July 28
Settlement date:	July 31
Agent:	J.P. Morgan Securities LLC
Fees:	3.06667%
Cusip:	48127DRR1

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