JPMorgan sets threshold, reference price for 0.25% notes tied to Voya

By Susanna Moon

Chicago, Feb. 7 – JPMorgan Chase Financial Co. LLC said it set the threshold price and initial reference price of its 0.25% convertible notes due May 1, 2023 linked to Voya Financial, Inc. stock.

The threshold price of $67.68198 is a 32.5% premium over the initial reference price of $51.08074, which is the arithmetic average of the volume-weighted average prices of one share of Voya common stock over the five consecutive trading days from Jan. 31 through Feb. 6, according to a company press release.

Settlement occurred on Feb. 2.

As reported, JPMorgan priced $350 million of the five-year cash-settled convertibles after the market close on Jan. 30 with an initial conversion premium of 32.5%.

Pricing came at the middle of talk for a coupon of 0% to 0.5% and at the cheap end of talk for an initial conversion premium of 32.5% to 37.5%.

J.P. Morgan Securities LLC is the bookrunner for the offering.

The notes will be issued in minimum denominations of $100,000 and integral multiples of $1,000, according to the release.

The notes are non-callable and have no put options.

They are convertible prior to maturity on May 1, 2023 only under certain circumstances, according to the pricing supplement.

The notes are convertible after June 30, 2018 if the product of the stock adjustment factor and current market price of Voya stock is greater than or equal to 130% of the threshold price for 20 out of 30 consecutive trading days.

The notes are also convertible in the five-day period following any five consecutive trading days where the trading prices of the notes was less than 98% of the product of the stock adjustment factor and market price of Voya stock multiplied by $1,000 and divided by the threshold price.

Investors who convert their notes prior to maturity will not receive any additional payment for accrued and unpaid interest.

Payment at maturity will be an amount in cash that is equal to the sum of the daily value on each of the 20 valuation dates, which are the trading days ending two trading days before maturity. The daily values have a floor of $50 and will be calculated as $50 multiplied by the appreciation from the threshold price.

JPMorgan Chase Financial is a subsidiary of JPMorgan Chase & Co., a New York-based banking and financial services holding company.

Voya Financial is a New York-based investment and insurance company.

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