New Issue: JPMorgan prices $8.5 million review notes linked to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., Nov. 24 – JPMorgan Chase & Co. priced $8.5 million of 0% review notes due Nov. 25, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a premium of 9.5% per year if each index closes at or above its initial level on any annual review date.

If the notes are not called and the final level of each index is greater than or equal to its trigger value, 70% of its initial level, the payout at maturity will be par plus 10%. Otherwise, investors will lose 1% for each 1% that the lesser-performing index's final level is less than its initial level.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Review notes
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$8,503,000
Maturity:	Nov. 25, 2019
Coupon:	0%
Price:	Par
Payout at maturity:	If notes are not called and each index finishes at or above trigger level, par plus 10%; otherwise, 1% loss for each 1% that lesser-performing index’s final level is less than initial level
Call:	Automatically at par plus 9.5% per year if each index closes at or above initial level on Dec. 5, 2016, Nov. 21, 2017, Nov. 21, 2018 or Nov. 20, 2019
Initial index levels:	2,089.17 for S&P 500 and 1,175.151 for Russell 2000
Trigger levels:	1,462.419 for S&P 500 and 822.6057 for Russell 2000, 70% of initial levels
Pricing date:	Nov. 20
Settlement date:	Nov. 30
Agent:	J.P. Morgan Securities LLC
Fees:	2.4%
Cusip:	48128GCC2

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