New Issue: JPMorgan prices $1.23 million autocallable contingent interest notes on S&P, Russell

By Angela McDaniels

Tacoma, Wash., Jan. 16 – JPMorgan Chase & Co. priced $1.23 million of autocallable contingent interest notes due Jan. 19, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of 7% if each index closes at or above its interest barrier level, 75% of its initial level, on the review date for that quarter.

The notes will be automatically called at par plus the contingent coupon if each index closes at or above its call level, 105% of its initial level, on any quarterly review date other than the final review date.

If the notes have not been called, the payout at maturity will be par unless either index finishes below its trigger level, 65% of its initial level, in which case investors will be fully exposed to the decline of the lesser-performing index.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Autocallable contingent interest notes
Underlying indexes:	Russell 2000 and S&P 500
Amount:	$1,233,000
Maturity:	Jan. 19, 2018
Coupon:	Notes pay quarterly contingent coupon at annual rate of 7% if each underlying index closes at or above interest barrier level on review date for that quarter
Price:	Par
Payout at maturity:	Par plus final coupon unless final level of either index is less than trigger level, in which case full exposure to decline of lesser-performing underlying index
Call:	Automatically at par plus contingent coupon if each index closes at or above call level on any quarterly review date other than final one
Initial levels:	2,011.27 for S&P 500 and 1,177.060 for Russell 2000
Interest barrier levels:	1,508.4525 for S&P 500 and 882.795 for Russell 2000; 75% of initial levels
Call levels:	2,111.8335 for S&P 500 and 1,235.913 for Russell 2000; 105% of initial levels
Trigger levels:	1,307.3255 for S&P 500 and 765.089 for Russell 2000; 65% of initial levels
Pricing date:	Jan. 14
Settlement date:	Jan. 22
Agent:	J.P. Morgan Securities LLC
Fees:	2.25%
Cusip:	48127D6K9

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