Published on 2/23/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $6 million trigger contingent yield notes linked to three indexes
By Angela McDaniels
Tacoma, Wash., Feb. 23 – JPMorgan Chase & Co. priced $6 million of trigger callable contingent yield notes due Aug. 27, 2018 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 11.2% per year if each index’s closing level remains at or above its coupon barrier, 65% of its initial level, on each day during that quarter.
Beginning Feb. 21, 2017, the notes are callable at par on each quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its trigger level, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
UBS Financial Services Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Trigger callable contingent yield notes
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $6 million
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| Maturity: | Aug. 27, 2018
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| Coupon: | 11.2% per year, payable quarterly if each index closes at or above its coupon barrier on each day during that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above trigger level, par; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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| Call option: | Beginning Feb. 21, 2017, at par on each quarterly observation date other than final one
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| Initial levels: | 2,871.05 for Euro Stoxx 50, 1,010.011 for Russell 2000 and 1,917.78 for S&P 500
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| Coupon barriers: | 1,866.18 for Euro Stoxx 50, 656.507 for Russell 2000 and 1,246.56 for S&P 500; 65% of initial levels
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| Trigger levels: | 1,722.63 for Euro Stoxx 50, 606.007 for Russell 2000 and 1,150.67 for S&P 500; 60% of initial levels
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| Pricing date: | Feb. 19
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| Settlement date: | Feb. 24
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| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 48128A129
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