Published on 11/4/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $5.35 million trigger callable notes on three indexes
By Marisa Wong
Morgantown, W.Va., Nov. 4 – JPMorgan Chase Financial Co. LLC priced $1.76 million of trigger callable contingent yield notes with daily coupon observation due Nov. 5, 2018 linked to the worst performing of the Euro Stoxx 50 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes will pay a contingent coupon at an annual rate of 13.65% if each index’s closing level remains at or above its coupon barrier level, 75% of its initial level, on each day during that quarter.
The notes will be callable at par of $10 on any quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its downside threshold level, 75% 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 Financial Co. LLC
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Guarantor: | JPMorgan Chase & Co.
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Issue: | Trigger callable contingent yield notes with daily coupon observation
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Underlying indexes: | Euro Stoxx 50 index, Russell 2000 index and S&P 500 index
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Amount: | $1.76 million
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Maturity: | Nov. 5, 2018
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Coupon: | 13.65% per year, payable each quarter that each index closes at or above its coupon barrier level each day for that quarter
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Price: | Par
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Payout at maturity: | Par unless any index finishes below downside threshold level, in which case full exposure to any losses of worst performing index
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Call option: | At par quarterly
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Initial levels: | 1,189.947 for Russell, 2,133.04 for S&P, 3,085.17 for Euro Stoxx
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Coupon barriers: | 892.460 for Russell, 1,599.78 for S&P, 2,313.88 for Euro Stoxx; 75% of initial levels
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Downside thresholds: | 892.460 for Russell, 1,599.78 for S&P, 2,313.88 for Euro Stoxx; 75% of initial levels
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Pricing date: | Oct. 27
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Settlement date: | Oct. 31
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Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
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Fees: | 1.5%
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Cusip: | 48128P787
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