By Susanna Moon
Chicago, June 30 – JPMorgan Chase & Co. priced $6.96 million of 0% return notes due Dec. 20, 2017 linked to the European Dividend Futures 2017 (USD) index, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus the index return times an adjustment factor of 101.2%.
The index, developed by Solactive AG in coordination with J.P. Morgan Securities, aims to replicate the returns of a euro-denominated listed futures contract traded on the Eurex Exchange that has a final settlement price based on the Euro Stoxx 50 DVP while attempting to mitigate exposure to fluctuations in the value of the European Union euro relative to the U.S. dollar.
The Euro Stoxx 50 DVP is intended to provide a measure of the cumulative cash distributions net of certain withholding taxes in the case of special cash dividends and capital returns on the constituents of the Euro Stoxx 50 index for annual periods ending on the third Friday in December of each year.
The final settlement price of the futures contract will reflect the total cash distributions on the constituents of the Euro Stoxx 50 index during approximately 12 months prior to the expiry of the futures contract in December 2017.
The final index level at the expiry of the futures contract will be greater than its initial level if total cash distributions on the Euro Stoxx 50 during the 12 months prior to expiry of the futures contract exceed the cash distributions implied by the futures contract on the pricing date. This has tended to be the case, according to the offering prospectus, although there is no assurance this trend will continue.
To reduce currency exposure, the index rebalances weekly and changes in the value of the euro relative to the dollar affect the return only since the last weekly rebalancing.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Return notes
|
| Underlying index: | European Dividend Futures 2017 (USD) index
|
| Amount: | $6.96 million
|
| Maturity: | Dec. 20, 2017
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus the index return times an adjustment factor of 101.2%
|
| Initial level: | 118.3398
|
| Pricing date: | June 26
|
| Settlement date: | July 1
|
| Underwriter: | J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 48125UXV9
|
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