Published on 5/23/2017 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $9.94 million trigger callable contingent yield notes on indexes
By Marisa Wong
Morgantown, W.Va., May 23 – JPMorgan Chase Financial Co. LLC priced $9.94 million of trigger callable contingent yield notes with daily coupon observation due May 27, 2020 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 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 8.5% if each index closes at or above its coupon barrier, 65% of its initial level, on each day during that quarter.
The notes are callable at par on any quarterly observation date.
The payout at maturity will be par plus the contingent coupon unless any index finishes below its 65% downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
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: | S&P 500, Russell 2000, Euro Stoxx 50
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| Amount: | $9,943,000
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| Maturity: | May 27, 2020
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| Contingent coupon: | 8.5%, payable each quarter that each index closes at or above coupon barrier on each day during quarter
|
| Price: | Par of $10
|
| Call option: | At par on any quarterly observation date
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| Payout at maturity: | Par unless any index finishes below downside threshold, in which case 1% loss for each 1% decline of worst performing index
|
| Initial levels: | 2,381.73 for S&P, 1,367.330 for Russell, 3,587.01 for Stoxx
|
| Coupon barriers: | 1,548.12 for S&P, 888.765 for Russell, 2,331.56 for Stoxx; 65% of initial levels
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| Downside thresholds: | 1,548.12 for S&P, 888.765 for Russell, 2,331.56 for Stoxx; 65% of initial levels
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| Pricing date: | May 19
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| Settlement date: | May 26
|
| Agents: | UBS Financial Services Inc. and J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48129G505
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