J.P. Morgan Structured Products B.V.
(Incorporated in The Netherlands with limited liability)
ANNOUNCEMENT
Proposed Issue of
100,000,000 European Style Index Call Warrants
relating to the Hang Seng Index
Introduction
J.P. Morgan Structured Products B.V. (the “Issuer” or “JPMSP”) wishes to announce the launch of the
proposed issuance of 100,000,000 European Style Index Call Warrants (the “Warrants”) relating to the
Hang Seng Index (the “Underlying Index”) unconditionally and irrevocably guaranteed by JPMorgan
Chase Bank, National Association (the “Guarantor” or “JPMorgan Chase Bank, N.A.”). J.P. Morgan
Securities Singapore Private Limited has been appointed as the designated market-maker (the
“Designated Market Maker”) for the Warrants and The Central Depository (Pte) Limited (“CDP”) has
been appointed as the warrant agent (the “Warrant Agent”) for the Warrants.
The Warrants are cash-settled warrants which entitle a warrantholder to be paid a cash settlement
amount (if positive) (the “Cash Settlement Amount”) in accordance with the terms and conditions of the
Warrants.
Further details of the Warrants are set out below.
Exercise of the Warrants
The issue price of each Warrant is S$0.203. The conversion ratio is 0.001 (i.e. every 1,000 Warrants will
initially relate to one Index unit) (the “Conversion Ratio”).
The Warrants have a strike level of 23,200 (the “Strike Level”) and may only be exercised on 30 March
2017 (the “Expiry Date”).
Cash Settlement Amount
Warrantholders shall not be required to deliver an exercise notice. Exercise of Warrants shall be
determined by the Closing Level of the Underlying Index. If the Closing Level of the Underlying Index is
greater than the Strike Level and the Cash Settlement Amount (less any Exercise Expenses) is positive,
all Warrants shall be deemed to have been automatically exercised at 12:00 noon (Singapore time) on
the Expiry Date (or if the Expiry Date is not a Business Day, the immediately preceding Business Day).
The Cash Settlement Amount less the Exercise Expenses in respect of the Warrants shall be paid in the
manner set out in the terms and conditions of the Warrants. In the event the Closing Level of the
Underlying Index is less than or equal to the Strike Level and the Cash Settlement Amount (less any
Exercise Expenses) is zero or negative, all Warrants shall be deemed to have expired at 12:00 noon
(Singapore time) on the Expiry Date (or if the Expiry Date is not a Business Day, the immediately
preceding Business Day), and warrantholders shall not be entitled to receive any payment from the Issuer
in respect of the Warrants.
The Cash Settlement Amount for each Warrant exercised is calculated as the amount (if positive) payable
in Singapore Dollars equal to:
[(Closing Level - Strike Level) x Conversion Ratio] x Exchange Rate
Where:
Closing Level
: The final settlement price for settling the Hang Seng Index March 2017 Futures
Contract determined pursuant to Regulation 012 of the Regulations for trading Stock
Index Futures and the Contract Specifications for Hang Seng Index Futures Contracts
(as amended from time to time) of the Hong Kong Futures Exchange Limited.
Exchange Rate : The rate for the conversion of Hong Kong Dollars to Singapore Dollars as at 5:00 p.m.
(Singapore time) on the Valuation Date as shown on Reuters provided that if the Reuters
service ceases to display such information, such page as displays such information on
such other services as may be selected by the Issuer.
Valuation Date : 30 March 2017 or if such day is not the day on which the Hang Seng Index March 2017
Futures Contract expires on the Hong Kong Futures Exchange Limited, the day on
which the Hang Seng Index March 2017 Futures Contract will expire on the Hong Kong
Futures Exchange Limited or its successor or assign.
The Strike Level is based on the reference level of 21,832.68 used for the pricing of the Warrants. The
Warrants carry a premium of 11.25% and a gearing of 20.06 times.
Listing and Trading of the Warrants
An application will be made to the Singapore Exchange Securities Trading Limited (the “SGX-ST”) for the
listing of and quotation for the Warrants. The Warrants, when issued, will be represented by a global
warrant certificate to be deposited with CDP. The Warrants will be traded on the SGX-ST through the
book-entry scripless settlement system of CDP. It is expected that dealings in the Warrants will
commence on or about 6 January 2017 on the SGX-ST. The Warrants will be traded in Singapore Dollars
on the SGX-ST.
The Designated Market Maker
The Designated Market Maker will provide competitive buy and sell quotes (“Quotations”) for the
Warrants continuously during the trading hours of the SGX-ST (with the spread between the buy and sell
quotes not exceeding 10 times the minimum permitted price movement in the Warrants in accordance
with the rules of the SGX-ST or $0.20 whichever is greater). The minimum quantity of Warrants to which
the Quotations will apply is 1,000 Warrants.
Quotations may however not be provided by the Designated Market Maker in the following
circumstances:
(a)
during the pre-market opening and five minutes following the opening of the SGX-ST on any
trading day;
(b)
when the Warrants are suspended from trading for any reason, but without limitation, as a result
of trading in the shares or securities relating to or constituting the Underlying Index being
suspended, trading of options or futures relating to the Underlying Index on any options or futures
exchanges being suspended, or options or futures generally on any options and/or futures
exchanges on which options relating to Underlying Index are traded being suspended, or if the
Underlying Index for whatever reason is not calculated;
(c)
when trading in the shares constituting the Underlying Index is suspended or limited in a material
way for any reason, for the avoidance of doubt, the Designated Market Maker is not obliged to
provide quotations for the Warrants at any time when the shares constituting the Underlying Index
are not traded for any reason;
(d)
in the event of the occurrence of a market disruption event, including, without limitation, any
suspension of or limitation imposed on trading (including but not limited to unforeseen
circumstances such as by reason of movements in price exceeding limits permitted by the SGXST or any act of God, war, riot, public disorder, explosion, terrorism or otherwise) in the shares or
any warrants, options contracts or futures contracts relating to the Underlying Index;
(e)
in case where the Issuer has limited inventories to sell;
(f)
where the ability of the Issuer to source a hedge or unwind an existing hedge, as determined by
the Issuer in good faith, is materially affected by the prevailing market conditions;
(g)
if the Warrants are theoretically valueless (where the Issuer’s bid price is below the minimum bid
size for such securities as prescribed by the SGX-ST), the Designated Market Maker will not
provide the bid price. In such an instance, the Designated Market Maker will provide the offer
price only;
(h)
if the stock market experiences exceptional price movement and volatility, i.e. during fast
markets;
(i)
where the Designated Market Maker faces technical problems affecting the ability of the
Designated Market Maker to provide bids and offer quotations; and
(j)
when it is a public holiday in Hong Kong and/or Singapore and The Stock Exchange of Hong
Kong Limited and/or the SGX-ST are not open for dealings.
The last trading day on which the Designated Market Maker will provide competitive Quotations for the
Warrants would be the fifth Business Day immediately preceding the Expiry Date.
Termsheet
A copy of the termsheet relating to the Warrants is attached as an Appendix to this Announcement.
Information on the Issuer
JPMSP was incorporated as a limited liability company (besloten vennootschap met beperkte
aansprakelijkheid) under the laws of The Netherlands in Amsterdam, The Netherlands, on 6 November
2006 to exist for an unlimited duration. JPMSP is registered at the Chamber of Commerce of Amsterdam
under registered number 34259454 and has its registered offices at Luna ArenA, Herikerbergweg 238,
1101 CM Amsterdam, The Netherlands (telephone number +31 20 575 56 00).
JPMSP is an indirect, wholly-owned subsidiary of JPMorgan Chase Bank, N.A. JPMorgan Chase Bank,
N.A. is one of the principal bank subsidiaries of JPMorgan Chase & Co. (‘‘JPMorgan Chase’’), a
company incorporated in the State of Delaware in the United States of America. Neither JPMSP nor
JPMorgan Chase Bank, N.A. is the ultimate holding company of the group to which JPMSP belongs and
with which JPMSP’s name is identified.
JPMSP may undertake independent investments in its sole discretion with the proceeds (net of third party
costs) of an issuance of notes, warrants or certificates, subject to compliance with certain legal, tax and
regulatory restrictions.
JPMSP’s business principally consists of the issuance of securitised derivatives comprising notes,
warrants and certificates, including equity-linked, reverse convertible and market participation notes and
the subsequent hedging of those risk positions. All issuances which have been closed to date are subject
to hedging arrangements. The proceeds of the sale of the securities are used for general corporate
purposes, including the entry into hedging arrangements with other JPMorgan Chase affiliates. JPMSP
anticipates that the hedging arrangements will be sufficient to hedge itself against the market risk of its
securities issuance activities. JPMSP also has receipts from and makes payments to other JPMorgan
Chase affiliates.
In 2015, JPMSP issued securities in the Asia Pacific region, in Europe, the Middle East, Africa and a
limited number in the United States of America.
Information on the Guarantor
JPMorgan Chase Bank, N.A. is a wholly-owned bank subsidiary of JPMorgan Chase, which is a leading
global financial services firm and one of the largest banking institutions in the United States of America
(‘‘U.S.’’), with operations worldwide and retail branches in 23 states. JPMorgan Chase Bank, N.A.
operates nationally as well as through overseas branches and subsidiaries, representative offices and
subsidiary foreign banks. One of its principal wholly-owned operating subsidiaries in the United Kingdom
is J.P. Morgan Securities plc. JPMorgan Chase Bank, N.A. either directly or through such offices,
branches and subsidiaries offers a wide range of banking services to its U.S. and non-U.S. customers,
including investment banking, financial services for consumers and small businesses, commercial
banking, financial transaction processing and asset management. Under the J.P. Morgan and Chase
brands, JPMorgan Chase Bank, N.A. serves millions of customers in the U.S. and many of the world’s
most prominent corporate, institutional and government clients.
JPMorgan Chase Bank, N.A. is a national banking association organised under U.S. federal law.
JPMorgan Chase Bank, N.A. was initially organised as a New York banking corporation on 26 November
1968, and converted into a national banking association on 13 November 2004. JPMorgan Chase Bank,
N.A. is chartered and its business is subject to examination and regulation by the Office of the
Comptroller of the Currency, a bureau of the U.S. Department of the Treasury. JPMorgan Chase Bank,
N.A. is a member of the U.S. Federal Reserve System and its U.S. domestic deposits are insured by the
Federal Deposit Insurance Corporation. Its U.S. Federal Reserve Bank Identification Number is 852218.
The powers of JPMorgan Chase Bank, N.A. are set forth in the U.S. National Bank Act and include all
such incidental powers as shall be necessary to carry on the business of banking; by discounting and
negotiating promissory notes, drafts, bills of exchange, and other evidences of debt; by receiving
deposits; by buying and selling exchange, coin, and bullion; by loaning money on personal security; and
by obtaining, issuing, and circulating notes.
The registered office of JPMorgan Chase Bank, N.A. is located at 1111 Polaris Parkway, Columbus, Ohio
43240, U.S.A. JPMorgan Chase Bank, N.A.’s principal place of business is located at 270 Park Avenue,
New York, New York 10017-2070, U.S.A. and its telephone number is +1 212 270 6000.
JPMorgan Chase Bank, N.A.’s activities are organised and integrated with the businesses of JPMorgan
Chase and consequently JPMorgan Chase Bank, N.A. is dependent on JPMorgan Chase (including
subsidiaries of JPMorgan Chase & Co. and JPMorgan Chase Bank, N.A.) to conduct its business. A
description of these businesses, and the products and services they provide to their respective client
bases, follows.
Consumer & Community Banking
Consumer & Community Banking serves consumers and businesses through personal service at bank
branches and through automated teller machines, online, mobile and telephone banking. Consumer &
Community Banking is organized into Consumer & Business Banking (including Consumer Banking/
Chase Wealth Management and Business Banking), Mortgage Banking (including Mortgage Production,
Mortgage Servicing and Real Estate Portfolios) and Card, Commerce Solutions & Auto. Consumer &
Business Banking offers deposit and investment products and services to consumers, and lending,
deposit, and cash management and payment solutions to small businesses. Mortgage Banking includes
mortgage origination and servicing activities, as well as portfolios consisting of residential mortgages and
home equity loans. Card, Commerce Solutions & Auto issues credit cards to consumers and small
businesses, offers payment processing services to merchants, and provides auto loans and leases and
student loan services.
Corporate & Investment Bank
The Corporate & Investment Bank, which consists of Banking and Markets & Investor Services, offers a
broad suite of investment banking, market-making, prime brokerage, and treasury and securities products
and services to a global client base of corporations, investors, financial institutions, government and
municipal entities. Banking offers a full range of investment banking products and services in all major
capital markets, including advising on corporate strategy and structure, capital-raising in equity and debt
markets, as well as loan origination and syndication. Banking also includes Treasury Services, which
provides transaction services, consisting of cash management and liquidity solutions. Markets & Investor
Services is a global market-maker in cash securities and derivative instruments, and also offers
sophisticated risk management solutions, prime brokerage, and research. Markets & Investor Services
also includes Securities Services, a leading global custodian which provides custody, fund accounting and
administration, and securities lending products principally for asset managers, insurance companies and
public and private investment funds.
Commercial Banking
Commercial Banking delivers extensive industry knowledge, local expertise and dedicated service to U.S.
and U.S. multinational clients, including corporations, municipalities, financial institutions and non-profit
entities with annual revenue generally ranging from $20 million to $2 billion. In addition, Commercial
Banking provides financing to real estate investors and owners. Partnering with JPMorgan Chase’s other
businesses, Commercial Banking provides comprehensive financial solutions, including lending, treasury
services, investment banking and asset management to meet its clients’ U.S. domestic and international
financial needs.
Asset Management
Asset Management is a global leader in investment and wealth management. Asset Management clients
include institutions, high-net-worth individuals and retail investors in many major markets throughout the
world. Asset Management offers investment management across most major asset classes including
equities, fixed income, alternatives and money market funds. Asset Management also offers multi-asset
investment management, providing solutions for a broad range of clients’ investment needs. For Global
Wealth Management clients, Asset Management also provides retirement products and services,
brokerage and banking services including trusts and estates, loans, mortgages and deposits. The majority
of Asset Management’s client assets are in actively managed portfolios.
Corporate
The Corporate segment consists of Treasury and Chief Investment Office and Other Corporate, which
includes corporate staff units and expense that is centrally managed. Treasury and Chief Investment
Office are predominantly responsible for measuring, monitoring, reporting and managing JPMorgan
Chase’s liquidity, funding and structural interest rate and foreign exchange risks, as well as executing
JPMorgan Chase’s capital plan. The major Other Corporate units include Real Estate, Enterprise
Technology, Legal, Compliance, Finance, Human Resources, Internal Audit, Risk Management, Oversight
& Control, Corporate Responsibility and various Other Corporate groups. Other centrally managed
expense includes JPMorgan Chase’s occupancy and pension-related expenses that are subject to
allocation to the businesses.
As at the date hereof, the Guarantor’s long-term credit rating is A+ by S&P Global Ratings, a division of
The McGraw-Hill Companies, Inc., AA- by Fitch, Inc. and Aa3 by Moody’s Investors Services, Inc.
Risk Factors
In respect of the Warrants, investors should note that they are subject to an exchange rate risk as the
Cash Settlement Amount is converted from Hong Kong Dollars into Singapore Dollars. The value of the
Warrants may therefore be affected by, amongst other factors, the relative exchange rates of the
Singapore Dollar and the Hong Kong Dollar. Exchange rates between currencies are determined by
forces of supply and demand in the foreign exchange markets. These forces are, in turn, affected by
factors such as international balances of payments and other economic and financial conditions,
government intervention in currency markets and currency trading speculation. Fluctuations in foreign
exchange rates, foreign political and economic developments, and the imposition of exchange controls or
other foreign governmental laws or restrictions applicable to such investments may affect the foreign
currency market price and the exchange rate-adjusted equivalent price of the Warrants. Fluctuations in
the exchange rate of any one currency may be offset by fluctuations in the exchange rate of other
relevant currencies.
Disclaimer
Hang Seng Index (the “Index”) is published and compiled by Hang Seng Indexes Company Limited
pursuant to a licence from Hang Seng Data Services Limited. The mark and name “Hang Seng Index”
are proprietary to Hang Seng Data Services Limited. Hang Seng Indexes Company Limited and Hang
Seng Data Services Limited have agreed to the use of, and reference to, the Index by J.P. MORGAN
STRUCTURED PRODUCTS B.V. in connection with the Warrants (the “Product”), BUT NEITHER HANG
SENG INDEXES COMPANY LIMITED NOR HANG SENG DATA SERVICES LIMITED WARRANTS OR
REPRESENTS OR GUARANTEES TO ANY BROKER OR HOLDER OF THE PRODUCT OR ANY
OTHER PERSON (i) THE ACCURACY OR COMPLETENESS OF THE INDEX AND ITS
COMPUTATION OR ANY INFORMATION RELATED THERETO; OR (ii) THE FITNESS OR
SUITABILITY FOR ANY PURPOSE OF THE INDEX OR ANY COMPONENT OR DATA COMPRISED IN
IT; OR (iii) THE RESULTS WHICH MAY BE OBTAINED BY ANY PERSON FROM THE USE OF THE
INDEX OR ANY COMPONENT OR DATA COMPRISED IN IT FOR ANY PURPOSE, AND NO
WARRANTY OR REPRESENTATION OR GUARANTEE OF ANY KIND WHATSOEVER RELATING TO
THE INDEX IS GIVEN OR MAY BE IMPLIED. The process and basis of computation and compilation of
the Index and any of the related formula or formulae, constituent stocks and factors may at any time be
changed or altered by Hang Seng Indexes Company Limited without notice. TO THE EXTENT
PERMITTED BY APPLICABLE LAW, NO RESPONSIBILITY OR LIABILITY IS ACCEPTED BY HANG
SENG INDEXES COMPANY LIMITED OR HANG SENG DATA SERVICES LIMITED (i) IN RESPECT
OF THE USE OF AND/OR REFERENCE TO THE INDEX BY J.P. MORGAN STRUCTURED
PRODUCTS B.V. IN CONNECTION WITH THE PRODUCT; OR (ii) FOR ANY INACCURACIES,
OMISSIONS, MISTAKES OR ERRORS OF HANG SENG INDEXES COMPANY LIMITED IN THE
COMPUTATION OF THE INDEX; OR (iii) FOR ANY INACCURACIES, OMISSIONS, MISTAKES,
ERRORS OR INCOMPLETENESS OF ANY INFORMATION USED IN CONNECTION WITH THE
COMPUTATION OF THE INDEX WHICH IS SUPPLIED BY ANY OTHER PERSON; OR (iv) FOR ANY
ECONOMIC OR OTHER LOSS WHICH MAY BE DIRECTLY OR INDIRECTLY SUSTAINED BY ANY
BROKER OR HOLDER OF THE PRODUCT OR ANY OTHER PERSON DEALING WITH THE
PRODUCT AS A RESULT OF ANY OF THE AFORESAID, AND NO CLAIMS, ACTIONS OR LEGAL
PROCEEDINGS MAY BE BROUGHT AGAINST HANG SENG INDEXES COMPANY LIMITED AND/OR
HANG SENG DATA SERVICES LIMITED in connection with the Product in any manner whatsoever by
any broker, holder or other person dealing with the Product. Any broker, holder or other person dealing
with the Product does so therefore in full knowledge of this disclaimer and can place no reliance
whatsoever on Hang Seng Indexes Company Limited and Hang Seng Data Services Limited. For the
avoidance of doubt, this disclaimer does not create any contractual or quasi-contractual relationship
between any broker, holder or other person and Hang Seng Indexes Company Limited and/or Hang Seng
Data Services Limited and must not be construed to have created such relationship.
Issued by
J.P. MORGAN STRUCTURED PRODUCTS B.V.
20 December 2016