New Issue: JPMorgan prices $14.68 million review notes linked to S&P 500, Russell

By Marisa Wong

Morgantown, W.Va., Oct. 27 – JPMorgan Chase & Co. priced $14.68 million of 0% review notes due Oct. 28, 2019 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 9.75% if each index closes at or above its initial level on any of four annual review dates.

If the notes are not called and the final level of each index is greater than or equal to its trigger level, 70% of its initial level, the payout at maturity will be par plus the contingent minimum return of 10%.

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

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Review notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$14,679,000
Maturity:	Oct. 28, 2019
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 10% unless either index falls by more than 30%, in which case 1% loss for every 1% decline of the lesser performing index
Call:	Automatically at par plus 9.75% per year if each index closes at or above initial level on Nov. 7, 2016, Oct. 23, 2017, Oct. 23, 2018 or Oct. 23, 2019
Initial index levels:	2,075.15 for S&P 500 and 1,166.058 for Russell
Trigger levels:	1,452.605 for S&P 500 and 816.2406 for Russell
Pricing date:	Oct. 23
Settlement date:	Oct. 30
Agent:	J.P. Morgan Securities LLC
Fees:	2.4%
Cusip:	48125U5S7

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