Published on 10/18/2016 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., Oct. 18 – JPMorgan Chase Financial Co. LLC priced $5.35 million of trigger callable contingent yield notes with daily coupon observation due Oct. 18, 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 12.45% if each index’s closing level remains at or above its coupon barrier level, 70% 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, 70% 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: | $5.35 million
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| Maturity: | Oct. 18, 2018
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| Coupon: | 12.45% 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: | 3,025.19 for Euro Stoxx, 2,132.98 for S&P, 1,212.408 for Russell
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| Coupon barriers: | 2,082.53 for Euro Stoxx, 1,492.79 for S&P, 851.025 for Russell; 70% of initial levels
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| Downside thresholds: | 2,082.53 for Euro Stoxx, 1,492.79 for S&P, 851.025 for Russell; 70% of initial levels
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| Pricing date: | Oct. 14
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| Settlement date: | Oct. 21
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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: | 46646X118
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