New Issue: JPMorgan prices $6.69 million digital notes linked to MSCI Europe converted into dollars

By Angela McDaniels

Tacoma, Wash., Feb. 25 – JPMorgan Chase & Co. priced $6.69 million of 0% digital notes due March 28, 2017 linked to the MSCI Europe index converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.

The issuer will determine the dollar value of the index by multiplying the closing index level on the relevant day by the dollar/euro exchange rate on that day. The initial index level and the final index level will incorporate this dollar adjustment.

If the index return is greater than or equal to negative 15%, the payout at maturity will be $1,052 per $1,000 principal amount of notes. Otherwise, investors will lose 1.1765% for every 1% that the index declines beyond 15%.

J.P. Morgan Securities LLC is the agent.

Issuer:	JPMorgan Chase & Co.
Issue:	Digital notes
Underlying index:	MSCI Europe index converted into dollars
Amount:	$6,685,000
Maturity:	March 28, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If index return is greater than or equal to negative 15%, $1,052 per $1,000 principal amount of notes; otherwise, 1.1765% loss for every 1% that index declines beyond 15%
Initial level:	121.715984, which is index’s closing level on pricing date converted into dollars at exchange rate on that date
Final level:	Index’s closing level on March 23, 2017 converted into dollars at exchange rate on that date
Pricing date:	Feb. 23
Settlement date:	March 1
Agent:	J.P. Morgan Securities LLC
Fees:	1%
Cusip:	48128GNA4

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