Published on 5/25/2016 in the Prospect News Structured Products Daily.
New Issue: JPMorgan prices $1.5 million trigger callable contingent yield notes linked to indexes
By Wendy Van Sickle
Columbus, Ohio, May 25 – JPMorgan Chase Financial Co. LLC priced $1.5 million of trigger callable contingent yield notes with daily coupon observation due Nov. 28, 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.
The notes are guaranteed by JPMorgan Chase & Co.
Each quarter, the notes pay a contingent coupon if each index’s closing level remains at or above its coupon barrier, 65% of its initial level, on each day during that quarter. The contingent coupon rate is 8.5% per year.
After one year, the notes are callable at par of $10 on each quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its 55% downside threshold 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, Russell 2000 and S&P 500
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| Amount: | $1.5 million
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| Maturity: | May 29, 2018
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| Coupon: | 8.5% per year, payable quarterly if each index closes at or above its downside threshold level on each day during that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above downside threshold 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: | After one year, at par on each quarterly observation date other than final one
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| Initial levels: | 2,962.16 for Euro Stoxx 50, 1,112.276 for Russell 2000 and 2,052.32 for S&P 500
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| Coupon barrier: | 1,925.40 for Euro Stoxx 50, 722.979 for Russell 2000 and 1,334.01 for S&P 500, 65% of initial levels
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| Downside thresholds: | 1,629.19 for Euro Stoxx 50, 611.752 for Russell 2000 and 1,128.78 for S&P 500; 55% of initial levels
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| Pricing date: | May 23
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| Settlement date: | May 27
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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: | 46646W730
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