New Issue: JPMorgan sells $5.57 million review notes tied to S&P 500, Russell 2000

By Susanna Moon

Chicago, April 26 – JPMorgan Chase & Co. priced $5.57 million of 0% digital notes due April 27, 2020 linked to 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 an annualized call premium of 11% if each index closes at or above its initial level on any of four annual review dates.

The payout at maturity will be par plus the contingent minimum return of 10% unless either index finishes below its 70% trigger level, in which case 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:	Review notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$5,572,000
Maturity:	April 27, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 10% unless either index falls by more than 30%, in which case full exposure to any losses of worse performing index
Call:	At par plus 11% per year if each index closes at or above initial level on May 1, 2017, April 23, 2018, April 22, 2019 or April 22, 2020
Initial levels:	2,091.58 for S&P, 1,146.69 for Russell
Trigger levels:	1,464.106 for S&P, 802.683 for Russell; 70% of initial levels
Pricing date:	April 22
Settlement date:	April 29
Agent:	J.P. Morgan Securities LLC
Fees:	2.4%
Cusip:	48128GRX0

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