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Published on 9/1/2016 in the Prospect News Structured Products Daily.

New Issue: JPMorgan sells $2.5 million autocallable contingent interest notes on S&P 500, Russell

By Susanna Moon

Chicago, Sept. 1 – JPMorgan Chase Financial Co. LLC priced $518,000 of autocallable contingent interest notes due Sept. 5, 2017 linked to the lesser performing of the S&P 500 index the Nikkei 225 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by JPMorgan Chase & Co.

The notes will pay a contingent monthly coupon at an annual rate of 10.25% if each index closes at or above its coupon barrier level, 75% of its initial level, on the review date for that month.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any review date other than the first, second and final dates.

The payout at maturity will be par unless any index finishes below its 75% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.

J.P. Morgan Securities LLC is the agent.

Issuer:JPMorgan Chase Financial Co. LLC
Guarantor:JPMorgan Chase & Co.
Issue:Autocallable contingent interest notes
Underlying indexes:S&P 500, Nikkei 225 and Euro Stoxx 50
Amount:$2,502,000
Maturity:Sept. 5, 2017
Coupon:10.25% annualized, payable monthly if each index closes at or above 75% coupon barrier on review date for that month
Price:Par
Payout at maturity:Par unless any index falls below trigger level, in which case full exposure to any losses of worst performing index
Call:At par plus contingent coupon if each index closes at or above initial level on any review date other than first, second and final dates
Initial levels:2,176.12 for S&P, 16,725.36 for Nikkei and 3,030.75 for Stoxx
Trigger levels:1,632.09 for S&P, 12,544.02 for Nikkei and 2,273.0625 for Stoxx; 75% of initial levels
Pricing date:Aug. 30
Settlement date:Sept. 2
Agent:J.P. Morgan Securities LLC
Fees:1%
Cusip:46646EVU3

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