New Issue: JPMorgan prices $3.5 million digital equity notes tied to Russell 2000

By Marisa Wong

Madison, Wis., Jan. 2 – JPMorgan Chase & Co. priced $3.5 million of 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 $1,080 per $1,000 principal amount.

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.

Issuer:	JPMorgan Chase & Co.
Issue:	Digital equity notes
Underlying index:	Russell 2000
Amount:	$3.5 million
Maturity:	July 7, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If index return is greater than or equal to negative 15%, threshold settlement amount of $1,080 for each $1,000 principal amount; otherwise, 1.1765% loss per 1% drop beyond 15%
Initial index level:	1,213.055
Pricing date:	Dec. 30
Settlement date:	Jan. 7
Underwriter:	J.P. Morgan Securities LLC
Fees:	1.11%
Cusip:	48127D4H8

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