JPMorgan plans to price digital equity notes linked to Russell 2000

By Toni Weeks

San Luis Obispo, Calif., Dec. 24 – JPMorgan Chase & Co. plans to price 0% digital equity notes due July 7, 2016 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than or equal to 85% of the initial level, the payout at maturity will be the threshold settlement amount of $1,079 to $1,089 per $1,000 principal amount. The exact threshold settlement amount will be set at pricing.

If the index return is less than negative 15%, investors will lose 1.1765% for each 1% decline beyond 15%.

J.P. Morgan Securities LLC is the underwriter.

The notes will price Dec. 30 and Jan 7.

The Cusip number is 48127D4H8.

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