JPMorgan Chase Financial Company LLC
|
February 2017
|
Pricing Supplement
Registration Statement Nos. 333-209682 and 333-209682-01
Dated February 22, 2017
Filed pursuant to Rule 424(b)(2)
Structured Investments
Opportunities in U.S. and International Equities
Contingent Income Auto-Callable
Securities due August 28, 2019
All Payments on the Securities Based on the Worst
Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
Contingent Income Auto-Callable Securities do not guarantee
the payment of interest or the repayment of principal. Instead, the securities offer the opportunity for investors to earn
a contingent quarterly payment equal to 4.50% of the stated principal amount with respect to each quarterly monitoring period during
which the closing level of each of the Russell 2000
®
Index, the S&P 500
®
Index
and
the
EURO STOXX
®
Banks Index on each day is
greater than or equal to
80% of its initial index value, which we
refer to as a coupon barrier level. However, if, on
any day during a quarterly monitoring period
, the closing level
of
any underlying index
is less than its coupon barrier level, you will not receive any contingent quarterly payment for
the related quarterly monitoring period. In addition, if the closing level of each underlying index is greater than or equal
to its initial index value on any determination date
(other than the final determination date), the securities will be automatically
redeemed for an amount per security equal to the stated principal amount
plus
any contingent quarterly payment otherwise
due with respect to the related quarterly monitoring period. If the securities have not been automatically redeemed prior to maturity
and the final index value of
each
underlying index is greater than or equal to 60% of its initial index value, which we
refer to as a downside threshold level, the payment at maturity due on the securities will be the stated principal amount and,
if the closing level of each underlying index on each day during the final quarterly monitoring period is greater than or equal
to its coupon barrier level, the contingent quarterly payment with respect to the final quarterly monitoring period. If, however,
the securities have not been automatically redeemed prior to maturity and the final index value of
any underlying index
is less than its downside threshold level, you will be exposed to the decline in the worst performing of the underlying indices,
as compared to its initial index value, on a 1-to-1 basis and will receive a cash payment at maturity that is less than 60% of
the stated principal amount of the securities and could be zero. The securities are for investors who are willing to risk their
principal and seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving few
or no contingent quarterly payments and also the risk of receiving a cash payment at maturity that is significantly less than the
stated principal amount of the securities and could be zero.
Accordingly, investors could lose their entire initial investment
in the securities
. Because all payments on the securities are based on the worst performing of the underlying indices, (i)
a decline of any underlying index below its coupon barrier level will result in few or no contingent quarterly payments and (ii)
a decline of any underlying index below its downside threshold on the final determination date will result in a significant loss
of your initial investment, even if the other underlying indices appreciate or have not declined as much. Investors will
not participate in any appreciation of any underlying index. The securities are unsecured and unsubordinated obligations of JPMorgan
Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed
by JPMorgan Chase & Co., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program.
Any payment
on the securities is subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk of JPMorgan
Chase & Co., as guarantor of the securities.
FINAL TERMS
|
|
Issuer:
|
JPMorgan Chase Financial Company LLC
|
Guarantor:
|
JPMorgan Chase & Co.
|
Underlying indices:
|
Russell 2000
®
Index (the “RTY Index”), S&P 500
®
Index (the “SPX Index”) and EURO STOXX
®
Banks Index (the “SX7E Index”) (each an “underlying index”)
|
Aggregate principal amount:
|
$8,635,000
|
Early redemption:
|
If, on any of the determination dates (other than the
final determination date), the closing level of each underlying index is greater than or equal to its initial index value, the
securities will be automatically redeemed for an early redemption payment on the first contingent payment date immediately following
the related determination date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any contingent
payment date if the closing level of any underlying index is below its initial index value on the related determination date.
|
Early redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period.
|
Contingent quarterly payment:
|
·
If the closing level of each underlying index is greater than or equal to its coupon barrier
level on
each
day during a quarterly monitoring period, we will pay a contingent quarterly payment of $45.00 (4.50% of the
stated principal amount) per security on the related contingent payment date.
·
If the closing level of
any underlying index
is less than its coupon barrier level
on
any
day during a quarterly monitoring period, no contingent quarterly payment will be payable with respect to that quarterly
monitoring period. It is possible that one or more of the underlying indices will be below their respective coupon barrier levels
on at least one day during most or all of the quarterly monitoring periods so that you will receive few or no contingent quarterly
payments.
|
Payment at maturity:
|
·
If the final index value of
each
underlying index is
greater than or equal to
its downside threshold level:
|
(i) the stated principal amount
plus
(ii) if the closing level of each underlying index on each day during the final quarterly monitoring period is greater than or equal to its coupon barrier level, the contingent quarterly payment with respect to the final quarterly monitoring period.
|
|
·
If the final index value of
any underlying index
is less than its downside threshold level:
|
(i) the stated principal amount
times
(ii) the index performance factor of the worst performing underlying index. This cash payment will be less than 60% of the stated principal amount of the securities and could be zero.
|
Coupon barrier level:
|
With respect to the RTY Index: 1,123.084, which is equal to 80% of its initial index value
With respect to the SPX Index: 1,890.256, which is equal to 80% of its initial index value
With respect to the SX7E Index: 91.544, which is equal to 80% of its initial index value
|
Downside threshold level:
|
With respect to the RTY Index: 842.313, which is equal to 60% of its initial index value
With respect to the SPX Index: 1,417.692, which is equal to 60% of its initial index value
With respect to the SX7E Index: 68.658, which is equal to 60% of its initial index value
|
Stated principal amount:
|
$1,000 per security
|
Issue price:
|
$1,000 per security (see “Commissions and issue price” below)
|
Pricing date:
|
February 22, 2017
|
Original issue date (settlement date):
|
February 27, 2017
|
Maturity date:
|
August 28, 2019, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
|
Terms continued on the following page
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
Commissions and issue price:
|
|
Price to public
(1)
|
Fees and commissions
|
Proceeds to issuer
|
Per security
|
|
$1,000.00
|
$20.00
(2)
|
$975.00
|
|
|
|
$5.00
(3)
|
|
Total
|
|
$8,635,000.00
|
$215,875.00
|
$8,419,125.00
|
|
|
|
|
|
|
|
(1)
|
See “Additional Information about the Securities — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the securities.
|
|
(2)
|
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $20.00 per $1,000 stated principal
amount security it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). See “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement.
|
|
(3)
|
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each
$1,000 stated principal amount security
|
The estimated value of the securities on the pricing date was
$937.80 per $1,000 stated principal amount security.
See “Additional Information about the Securities — The estimated
value of the securities” in this document for additional information.
Investing in the securities involves a number of risks. See “Risk
Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning on page US-2
of the accompanying underlying supplement and “Risk Factors” beginning on page 10 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The securities are not bank deposits, are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should
read this document together with the related product supplement,
underlying
supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional
Information about the Securities” at the end of this document.
Product
supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
Underlying
supplement no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
Prospectus
supplement and prospectus, each dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
JPMorgan Chase Financial
Company LLC
Contingent
Income Auto-Callable Securities due August 28, 2019
Based on the
Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Terms continued from previous page:
|
Quarterly monitoring period:
|
With respect to each contingent payment date, the period from but excluding the second immediately preceding determination date (or, in the case of the first determination date, from but excluding the pricing date) to and including the immediately preceding determination date
|
Initial index value:
|
With respect to the RTY Index: 1,403.855, which is its closing level on the pricing date
With respect to the SPX Index: 2,362.82, which is its closing level on the pricing date
With respect to the SX7E Index: 114.43, which is its closing level on the pricing date
|
Final index value:
|
With respect to each underlying index, the closing level on the final determination date
|
Worst performing underlying index:
|
The underlying index with the worst index performance factor
|
Index performance factor:
|
With respect to each underlying index, the final index value
divided by
the initial index value
|
Determination dates:
|
May 22, 2017, August 22, 2017, November 22, 2017, February 22, 2018, May 22, 2018, August 22, 2018, November 23, 2018, February 22, 2019, May 22, 2019 and August 22, 2019, subject to postponement for non-trading days and certain market disruption events
|
Contingent payment dates:
|
May 25, 2017, August 25, 2017, November 28, 2017, February 27, 2018, May 25, 2018, August 28, 2018, November 28, 2018, February 27, 2019, May 28, 2019 and the maturity date, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
CUSIP/ISIN:
|
46646QF75 / US46646QF753
|
Listing:
|
The securities will not be listed on any securities exchange.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Investment Summary
The Contingent Income Auto-Callable Securities
due August 28, 2019 Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index
and the EURO STOXX
®
Banks Index, which we refer to as the securities, do not provide for the regular payment of
interest. Instead, the securities provide an opportunity for investors to earn a contingent quarterly payment, which is an amount
equal to $45.00 (4.50% of the stated principal amount) per security, with respect to each quarterly monitoring period during which
the closing level of each underlying index on each day is greater than or equal to 60% of its initial index value, which we refer
to as a coupon barrier level. The contingent quarterly payment, if any, will be payable quarterly on the contingent payment date
immediately following the related determination date. However, if the closing level of any underlying index is less than its coupon
barrier level on any day during a quarterly monitoring period, investors will receive no contingent quarterly payment for that
quarterly monitoring period. It is possible that the closing level of one or more underlying indices could be below their respective
coupon barrier levels on at least one day during most or all of the quarterly monitoring periods so that you will receive few or
no contingent quarterly payments during the term of the securities. We refer to these payments as contingent, because there is
no guarantee that you will receive a payment on any contingent payment date. Even if all of the underlying indices were to be at
or above their respective coupon barrier levels on each day during some quarterly monitoring periods, one or more underlying indices
may fluctuate below their respective coupon barrier level(s) on any day during others.
If the closing level of each underlying
index is greater than or equal to its initial closing value on any determination date (other than the final determination date),
the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount
plus
any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period. If the
securities have not previously been redeemed and the final index value of each underlying index is greater than or equal to 60%
of its initial index value, which we refer to as a downside threshold level, the payment at maturity will be the sum of the stated
principal amount and, if the closing level of each underlying index on each day during the final quarterly monitoring period is
greater than or equal to its coupon barrier level, the contingent quarterly payment with respect to the final quarterly monitoring
period. However, if the securities have not previously been redeemed and the final index value of any underlying index is less
than its downside threshold level, investors will be exposed to the decline in the worst performing underlying index, as compared
to its initial index value, on a 1-to-1 basis. Under these circumstances, the payment at maturity will be (i) the stated principal
amount
times
(ii) the index performance factor of the worst performing underlying index, which will be less than 60% of
the stated principal amount of the securities and could be zero. Investors in the securities must be willing to accept the risk
of losing their entire principal and also the risk of receiving few or no contingent quarterly payments over the term of the securities.
In addition, investors will not participate in any appreciation of the underlying indices.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, each
underlying index is an “Index.”
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead, the securities offer investors an opportunity to earn a contingent quarterly payment equal to 4.50% of the stated principal
amount with respect to each quarterly monitoring period during which the closing level of each underlying index on each day is
greater than or equal to
80% of its initial index value, which we refer to as a coupon barrier level. The securities may be
redeemed prior to maturity for the stated principal amount per security
plus
any contingent quarterly payment otherwise
due with respect to the related quarterly monitoring period, and the payment at maturity will vary depending on the closing level
of each underlying index on each day during the final quarterly monitoring period including its final index value, as follows:
Scenario 1
|
This scenario assumes that, prior to
early redemption, each underlying index closes at or above its coupon barrier level on each day during some quarterly monitoring
periods but one or more of the underlying indices closes below their respective coupon barrier levels on one or more days during
the others. On the 6
th
determination date, the closing level of each underlying index is greater than or equal to its
initial index value.
Investors receive the contingent quarterly
payment for the quarterly monitoring periods during which the closing level of each underlying index is at or above its coupon
barrier level on each day during the related quarterly monitoring period.
On the contingent payment date
immediately following the 6
th
determination date, the securities will be automatically redeemed for the stated principal
amount
plus
any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period.
|
Scenario 2
|
This scenario assumes
that each underlying index closes at or above its coupon barrier level on each day during some quarterly monitoring periods but
one or more of the underlying indices closes below their respective coupon barrier levels on one or more days during the others,
and one or more underlying indices closes below their respective initial index values on all the determination dates prior to the
final determination date. On the final determination date, each underlying index closes at or above its downside threshold level.
Consequently, the securities are not
automatically redeemed, and investors receive a contingent quarterly payment for the quarterly monitoring periods during which
the closing level of each underlying index is at or above its coupon barrier level on each day during the related quarterly monitoring
period. At maturity, investors will receive the stated principal amount and any contingent quarterly payment otherwise due with
respect to the final quarterly monitoring period.
|
Scenario 3
|
This scenario assumes that each underlying
index closes at or above its coupon barrier level on each day during some quarterly monitoring periods but one or more of the underlying
indices closes below their respective coupon barrier levels on one or more days during the others, and one or more underlying indices
closes below their respective initial index values on all the determination dates prior to the final determination date. On the
final determination date, one or more of the underlying indices close below their respective downside threshold levels.
Consequently, the securities are not automatically
redeemed, and investors receive a contingent quarterly payment for the quarterly monitoring periods during which the closing level
of each underlying index is at or above its coupon barrier level on each day during the related quarterly monitoring period. At
maturity, investors will receive the stated principal amount times the index performance factor of the worst performing underlying
index, which will be less than 60% of the stated principal amount and could be zero.
Investors will lose some and may lose
all of their principal in this scenario.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the
securities depending on (1) the closing levels and (2) the final index value.
Diagram #1: Quarterly Monitoring Periods (Other
Than the Final Quarterly Monitoring Period)
Diagram #2: Payment at
Maturity if No Automatic Early Redemption Occurs
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 6.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent quarterly payment is payable with respect to a quarterly monitoring period, whether the securities will be
automatically redeemed on any determination date prior to the final determination date and how to calculate the payment at maturity
if the securities have not been redeemed early. The following examples are for illustrative purposes only. Whether you receive
a contingent quarterly payment or whether the securities will be automatically redeemed will be determined by reference to the
closing level of each underlying index on each day during a quarterly monitoring period and the closing level of each underlying
index on each quarterly determination date, respectively, and the amount you will receive at maturity, if any, will be determined
by reference to the final index value of each underlying index and the closing level of each underlying index on each day during
the final quarterly monitoring period. The actual initial index value, coupon barrier level and downside threshold level for each
underlying index are specified on the cover of this pricing supplement. Any payment on the securities is subject to our and JPMorgan
Chase & Co.’s credit risks. The numbers in the hypothetical examples below may have been rounded for the ease of analysis.
The examples below are based on the following assumed terms:
Contingent quarterly payment:
|
A contingent quarterly payment of $45.00 per quarter per security will be paid on the securities on each contingent payment date
but only if
the closing level of each underlying index is at or above its coupon barrier level on each day during the related quarterly monitoring period.
|
Early redemption:
|
If the closing level of each underlying index is greater than or equal to its initial index value on any quarterly determination date (other than the final determination date), the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount
plus
any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period.
|
Payment at maturity (if the securities have not been automatically redeemed early):
|
If the final index value of each
underlying index is
greater
than or equal to
its downside threshold level: the stated principal amount and, if the closing level of each underlying index
on each day of the final quarterly monitoring period is greater than or equal to its coupon barrier level, the contingent quarterly
payment with respect to the final quarterly monitoring period.
If the final index value of any underlying index is less than
its downside threshold level: (i) the stated principal amount
times
(ii) the index performance factor of the worst performing
underlying index
|
Stated principal amount:
|
$1,000 per security
|
Hypothetical initial index value:
|
With respect to the RTY Index: 1,400.00
With respect to the SPX Index: 2,300.00
With respect to the SX7E Index: 120.00
|
Hypothetical coupon barrier level:
|
With respect to the RTY Index: 1,120.00, which is 80% of the hypothetical
initial index value for such index
With respect to the SPX Index: 1,840.00, which is 80% of the hypothetical
initial index value for such index
With respect to the SX7E Index: 96.00, which is 80% of the hypothetical
initial index value for such index
|
Hypothetical downside threshold level:
|
With respect to the RTY Index: 840.00, which is 60% of the hypothetical
initial index value for such index
With respect to the SPX Index: 1,380.00, which is 60% of the hypothetical
initial index value for such index
With respect to the SX7E Index: 72.00, which is 60% of the hypothetical
initial index value for such index
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
How to determine whether a contingent quarterly payment
is payable with respect to a quarterly monitoring period:
|
Lowest closing level during quarterly monitoring period
|
Contingent quarterly payment
|
|
RTY Index
|
SPX Index
|
SX7E Index
|
|
Hypothetical Quarterly Monitoring Period 1
|
1,300
(
at or above
coupon barrier level)
|
2,200
(
at or above
coupon barrier level)
|
105
(
at or above
coupon barrier level)
|
$45.00
|
Hypothetical Quarterly Monitoring Period 2
|
900
(
below
coupon barrier level)
|
2,300
(
at or above
coupon barrier level)
|
70
(
below
coupon barrier level)
|
$0
|
Hypothetical Quarterly Monitoring Period 3
|
1,200
(
at or above
coupon barrier level)
|
1,500
(
below
coupon barrier level)
|
60
(
below
coupon barrier level)
|
$0
|
Hypothetical Quarterly Monitoring Period 4
|
800
(
below
coupon barrier level)
|
1,300
(
below
coupon barrier level)
|
50
(
below
coupon barrier level)
|
$0
|
During hypothetical quarterly monitoring period 1, each underlying
index closes at or above its coupon barrier level on each day. Therefore, a contingent quarterly payment of $45.00 is payable on
the relevant contingent payment date.
During each of the hypothetical quarterly monitoring periods
2 and 3, one underlying index closes at or above its coupon barrier level on each day but the other underlying indices close below
their respective coupon barrier levels on at least one day. Therefore, no contingent quarterly payment is payable on the relevant
contingent payment date.
During hypothetical quarterly monitoring period 4, each underlying
index closes below its coupon barrier level on at least one day and, accordingly, no contingent quarterly payment is payable on
the relevant contingent payment date.
You will not receive a contingent quarterly payment on any
contingent payment date if the closing level of any underlying index is below its coupon barrier level on any day during the related
quarterly monitoring period.
How to determine whether the securities will
be automatically redeemed on any determination date prior to the final determination date:
|
Closing level
|
Early redemption payment
|
|
RTY Index
|
SPX Index
|
SX7E Index
|
|
Hypothetical Determination Date 1
|
1,500
(
at or above
initial index value)
|
2,100
(
below
initial index value)
|
110
(
below
initial index value)
|
n/a (securities are not redeemed early)
|
Hypothetical Determination Date 2
|
1,200
(
below
initial index value)
|
2,000
(
below
initial index value)
|
100
(
below
initial index value)
|
n/a (securities are not redeemed early)
|
Hypothetical Determination Date 3
|
1,500
(
at or above
initial index value)
|
2,400
(
at or above
initial index value)
|
140
(
at or above
initial index value)
|
$1,000 (the stated principal amount)
plus
any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period
|
On hypothetical determination date 1, one underlying index closes
at or above its initial index value but the other underlying indices close below their respective initial index values. Therefore,
the securities remain outstanding and are not redeemed early.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
On hypothetical determination date 2, each underlying index
closes below its initial index value. Therefore, the securities remain outstanding and are not redeemed early.
On hypothetical determination date 3, each underlying index
closes at or above its initial index value. Therefore, the securities are automatically redeemed and you receive an early redemption
payment equal to the stated principal amount
plus
any contingent quarterly payment otherwise due with respect to the related
quarterly monitoring period. No further payments will be made on the securities once they have been redeemed.
How to calculate the payment at maturity (if
the securities have not been automatically redeemed early):
|
Lowest closing levels during final quarterly monitoring period
|
Final index value
|
Payment at
maturity
|
|
RTY Index
|
SPX Index
|
SX7E Index
|
RTY Index
|
SPX Index
|
SX7E Index
|
|
Example 1:
|
1,200
(
at or above
coupon barrier
level)
|
1,600
(
at or above
coupon barrier
level)
|
110
(
at or above
coupon barrier
level)
|
1,300
(
at or above
downside threshold level)
|
1,900
(
at or above
downside threshold level)
|
110
(
at or above
downside threshold level)
|
$1,045.00 (the stated principal amount
plus
the contingent quarterly payment with respect to the final quarterly monitoring period)
|
Example 2:
|
900
(
below
coupon barrier
level)
|
1,000
(
below
coupon barrier
level)
|
80
(
below
coupon barrier
level)
|
1,000
(
at or above
downside threshold level)
|
1,600
(
at or above
downside threshold level)
|
105
(
at or above
downside threshold level)
|
$1,000 (the stated principal amount)
|
Example 3:
|
1,300
(
at or above
coupon barrier
level)
|
1,000
(
below
coupon barrier
level)
|
50
(
below
coupon barrier
level)
|
1,400
(
at or above
downside threshold level)
|
1,150
(
below
downside threshold level)
|
75
(
below
downside threshold level)
|
$1,000 × index performance factor of the worst performing underlying index =
$1,000 × (1,150 / 2,300) = $500.00
|
Example 4:
|
400
(
below
coupon barrier
level)
|
900
(
below
coupon barrier
level)
|
50
(
below
coupon barrier
level)
|
560
(
below
downside threshold level)
|
1,200
(
below
downside threshold level)
|
60
(
below
downside threshold level)
|
$1,000 × (560 / 1,400) = $400.00
|
Example 5:
|
300
(
below
coupon barrier
level)
|
400
(
below
coupon barrier
level)
|
40
(
below
coupon barrier
level)
|
500
(
below
downside threshold level)
|
690
(
below
downside threshold level)
|
50
(
below
downside threshold level)
|
$1,000 × (690 / 2,300) = $300.00
|
In example 1, the final index value of each underlying index
is at or above its downside threshold level and each underlying index closes at or above its coupon barrier level on each day during
the final quarterly monitoring period. Therefore, you receive at maturity the stated principal amount of the securities and the
contingent quarterly payment with respect to the final quarterly monitoring period.
In example 2, the final index value of each underlying index
is at or above its downside threshold level but at least one underlying index closes below its coupon barrier level on at least
one day during the final quarterly monitoring period. Therefore, you receive at maturity the stated principal amount of the
securities but no contingent quarterly payment is payable with respect to the final quarterly monitoring period.
In example 3, the final index value of one underlying index
is at or above its downside threshold level but the final index values of the other underlying indices are below their respective
downside threshold levels. Therefore, you are exposed to the downside performance of the worst performing underlying index
at maturity and receive a cash payment at maturity equal to the stated principal amount times the index performance factor of the
worst performing underlying index.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Similarly, in examples 4 and 5, the final index value of each
underlying index is below its downside threshold level, and you receive a cash payment at maturity equal to the stated principal
amount
times
the index performance factor of the worst performing underlying index.
If the final index value of ANY underlying index is below
its downside threshold level, you will be exposed to the downside performance of the worst performing underlying index at maturity,
and your payment at maturity will be less than 60% of the stated principal amount per security and could be zero.
The hypothetical returns and hypothetical payments on the
securities shown above apply
only if you hold the securities for their entire term or until early redemption.
These hypotheticals
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were
included, the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk factors
for investors in the securities. For further discussion of these and other risks, you should read the sections entitled “Risk
Factors” of the accompanying product supplement and the accompanying underlying supplement. We urge you to consult your investment,
legal, tax, accounting and other advisers in connection with your investment in the securities.
|
§
|
The securities do not guarantee the return of any principal
and your investment in the securities may result in a loss.
The terms of the securities differ from those of ordinary debt
securities in that the securities do not guarantee the return of any of the principal amount at maturity. Instead, if the securities
have not been automatically redeemed prior to maturity and if the final index value of
any
of the underlying indices is
less than its downside threshold level, you will be exposed to the decline in the closing level of the worst performing underlying
index, as compared to its initial index value, on a 1-to-1 basis. Under these circumstances, you will receive for each security
that you hold at maturity a cash payment equal to the stated principal amount
times
the index performance factor of the
worst performing underlying index.
In this case, your payment at maturity will be less than 60% of the stated principal amount
and could be zero.
|
|
§
|
You will not receive any contingent quarterly payment for any quarterly monitoring period if the closing level of any underlying
index is less than its coupon barrier level on any day during that quarterly monitoring period.
The terms of the securities
differ from those of ordinary debt securities in that the securities do not guarantee the payment of regular interest. Instead,
a contingent quarterly payment will be made with respect to a quarterly monitoring period only if the closing level of each underlying
index on each day during the quarterly monitoring period is greater than or equal to its coupon barrier level. If the closing level
of any underlying index is below its coupon barrier level on any day during a quarterly monitoring period, you will not receive
a contingent quarterly payment for that quarterly monitoring period.
|
It
is possible that the closing level of one or more underlying
indices
could be below their respective
coupon barrier
levels on at least one day during
most or all of the quarterly monitoring periods so that you will
receive
few or no contingent quarterly payments. If you do not earn sufficient contingent quarterly payments over the term of the securities,
the overall return on the securities may be less than the amount that would be paid on one of our conventional debt securities
of comparable maturity.
|
§
|
The contingent quarterly payment is based solely on the closing levels of the underlying indices during the quarterly monitoring
periods
.
Whether the contingent quarterly payment will be made
with respect to a quarterly monitoring period will be based on the closing level of each underlying index on each day during that
quarterly monitoring period. As a result, you will not know whether you will receive the contingent quarterly payment until the
end of the related quarterly monitoring period. Moreover, because the contingent quarterly payment is based solely on the closing
level of each underlying index on each day during that quarterly monitoring period, if the closing level of any of the underlying
indices on any day during that quarterly monitoring period is below its coupon barrier level, you will not receive any contingent
quarterly payment with respect to that quarterly monitoring period, even if the closing level of that underlying index was higher
on other days during that quarterly monitoring period.
|
|
§
|
You are exposed to the price risk of all three underlying
indices, with respect to all the contingent quarterly payments, if any, and the payment at maturity, if any.
Your return on
the securities is not linked to a basket consisting of the underlying indices. Rather, it will be contingent upon the independent
performance of each underlying index. Unlike an instrument with a return linked to a basket of underlying assets in which risk
is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to each underlying
index. The performance of the underlying indices may not be correlated. Poor performance by
any underlying index
over the
term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the
other underlying indices. Accordingly, your investment is subject to the risk of decline in the closing level of each underlying
index.
|
To receive
any
contingent
quarterly payments,
each
underlying index must close at or above its coupon barrier
level
on each day throughout a quarterly monitoring period. In addition, if
any underlying index
has declined to
below its downside threshold level as of the final determination date, you will be
fully exposed
to the decline in the worst
performing underlying index, as compared to its initial index value, on a 1-to-1 basis, even if the other underlying indices have
appreciated. Under this scenario, the value of any such payment will be less than 60% of the stated principal amount and could
be zero.
|
§
|
Because the securities
are linked to the performance of the worst performing underlying index, you are exposed to greater risks of no contingent quarterly
payments and sustaining a significant loss on your
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
investment
than if the securities were linked to just one underlying index.
The risk that you will not receive any contingent quarterly payments,
or that you will suffer a significant loss on your investment is greater if you invest in the securities than if you invest in
substantially similar securities that are linked to the performance of just one underlying index. With three underlying indices,
it is more likely that any one underlying index will close below its coupon barrier level on any day during a quarterly monitoring
period or its downside threshold level on the final determination date than if the securities were linked to only one underlying
index. In addition, you will not benefit from the performance of any underlying index other than the worst performing underlying
index. Therefore it is more likely that you will not receive any contingent quarterly payments and that you will suffer a significant
loss on your investment.
|
§
|
The securities are subject to the credit risks of JPMorgan Financial
and JPMorgan Chase & Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit ratings or
credit spreads may adversely affect the market value of the securities.
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan
Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined by the
market for taking that credit risk is likely to adversely affect the market value of the securities. If we and JPMorgan Chase &
Co. were to default on our payment obligations, you may not receive any amounts owed to you under the securities and you could
lose your entire investment.
|
|
§
|
As a finance subsidiary, JPMorgan Financial has no independent operations and has limited assets.
As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our
affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the securities. If these affiliates do not make payments to us and we fail to
make payments on the securities, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
|
§
|
Investors will not participate in any appreciation in any underlying
index.
Investors will not participate in any appreciation in any underlying index from its
initial index value, and the return on the securities will be limited to the contingent quarterly payment that is paid with respect
to each quarterly monitoring period during which the closing level of each underlying index on each day is greater than or equal
to its coupon barrier l
evel
,
if any.
|
|
§
|
An investment in the securities is subject to risks associated with
small capitalization stocks with respect to the RTY Index.
The stocks that constitute the
RTY Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more
volatile than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse
economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely
to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure
under adverse market conditions.
|
|
§
|
The securities are subject to risks associated with securities
issued by non-U.S. companies, with respect to the SX7E Index.
The equity securities included in the SX7E Index have been issued
by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated
with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including risks of volatility
in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also,
there is generally less publicly available information about companies in some of these jurisdictions than there is about U.S.
companies that are subject to the reporting requirements of the SEC
, and generally non-U.S.
companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules
different from those applicable to U.S. reporting companies.
|
|
§
|
The securities are not directly exposed to fluctuations in foreign exchange rates with respect to the SX7E Index.
The
value of your securities will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which
the equity securities included in the SX7E Index are based, although any currency fluctuations could affect the performance of
the SX7E Index. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the
securities, you will not receive any additional payment or incur any reduction in any payment on the securities.
|
|
§
|
The equity securities included in the SX7E Index are concentrated
in the banking industry.
Each of the equity securities included in the SX7E Index has been
issued by a company whose business is associated with the banking industry. Because the value of the securities is determined
in part by the performance of the SX7E Index, an investment in these securities will be concentrated in this industry. As
a result, the value of the securities may be
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
subject to greater
volatility and be more adversely affected by a single positive or negative economic, political or regulatory occurrence affecting
this industry than a different investment linked to securities of a more broadly diversified group of issuers.
|
§
|
Early redemption risk.
The term of your investment in the securities may be limited to as short as approximately three months by the automatic
early redemption feature of the securities. If the securities are redeemed prior to maturity, you will receive no more contingent
quarterly payments and may be forced to reinvest in a lower interest rate environment and you may not be able to reinvest the proceeds
from an investment in the securities at a comparable return for a similar level of risk.
|
|
§
|
Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the securities and
other affiliates of the issuer may be different from those of investors.
We
and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent
and as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used
to determine the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value
of the securities. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
The calculation agent has determined the initial index values, the coupon barrier levels and the downside threshold levels and
will determine the final index values, whether the closing level of each underlying index on any determination date is greater
than or equal to its initial index value and whether the closing level of any underlying index is below its coupon barrier level
on any day during any quarterly monitoring period or below its downside threshold level on the final determination date. Determinations
made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events, may affect
the payment to you at maturity or whether the securities are redeemed early.
|
In
addition, JPMorgan Chase & Co. is currently one of the companies that make up the SPX Index. JPMorgan Chase & Co. will
not have any obligation to consider your interests as a holder of the securities in taking any corporate action that might affect
the value of the SPX Index or the securities.
Moreover,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the securities and
the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the
securities could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional
information about these risks.
|
§
|
The estimated value of the securities is lower than the original
issue price (price to public) of the securities.
The estimated value of the securities is
only an estimate determined by reference to several factors. The original issue price of the securities exceeds the estimated value
of the securities because costs associated with selling, structuring and hedging the securities are included in the original issue
price of the securities. These costs include the selling commissions, the structuring fee, the projected profits, if any, that
our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated
cost of hedging our obligations under the securities. See “Additional Information about the Securities — The estimated
value of the securities” in this document.
|
|
§
|
The estimated value of the securities does not represent future
values of the securities and may differ from others’ estimates. The estimated value of the securities is determined by reference
to internal pricing models of our affiliates.
This estimated value of the securities is based
on market conditions and other relevant factors existing at the time of pricing and assumptions about market parameters, which
can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide
valuations for the securities that are greater than or less than the estimated value of the securities. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the securities could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase
& Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
which JPMS would be willing to buy securities from you in secondary market transactions. See “Additional Information about
the Securities — The estimated value of the securities” in this document.
|
|
§
|
The estimated value of the securities is derived by reference to
an internal funding rate.
The internal funding rate used in the determination of the estimated
value of the securities is based on, among other things, our and our affiliates’ view of the funding value of the securities
as well as the higher issuance, operational and ongoing liability management costs of the securities in comparison to those costs
for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential changes
to that rate may have an adverse effect
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
on the terms of the
securities and any secondary market prices of the securities. See “Additional Information about the Securities — The
estimated value of the securities” in this document.
|
§
|
The value of the securities as published by JPMS (and which may
be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited
time period.
We generally expect that some of the costs included in the original issue price
of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount
that will decline to zero over an initial predetermined period. These costs can include selling commissions, the structuring fee,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. See “Additional Information about the Securities — Secondary market prices of
the securities” in this document for additional information relating to this initial period. Accordingly, the estimated value
of your securities during this initial period may be lower than the value of the securities as published by JPMS (and which may
be shown on your customer account statements).
|
|
§
|
Secondary market prices of the securities will likely be lower than
the original issue price of the securities.
Any secondary market prices of the securities
will likely be lower than the original issue price of the securities because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices
(a) exclude selling commissions and the structuring fee and (b) may exclude projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the securities. As a result, the price, if any, at which JPMS will be willing
to buy securities from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any
sale by you prior to the maturity date could result in a substantial loss to you. See the immediately following risk factor for
information about additional factors that will impact any secondary market prices of the securities.
|
The
securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities
to maturity. See “— Secondary trading may be limited” below.
|
§
|
Secondary market prices of the securities will be impacted by many
economic and market factors.
The secondary market price of the securities during their
term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, structuring fee, projected hedging profits, if any, estimated hedging costs and the closing level of each
underlying index, including:
|
|
o
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
o
|
customary bid-ask spreads for similarly sized trades;
|
|
o
|
our internal secondary market funding rates for structured
debt issuances;
|
|
o
|
the actual and expected volatility in the closing level
of each underlying index;
|
|
o
|
the time to maturity of the securities;
|
|
o
|
whether the closing level of any underlying index has
been, or is expected to be, less than its coupon barrier level on any day during any quarterly monitoring period and whether the
final index value of any underlying index is expected to be less than its downside threshold level;
|
|
o
|
the likelihood of an early redemption being triggered;
|
|
o
|
the dividend rates on the equity securities included in
the underlying indices;
|
|
o
|
the actual and expected positive or negative correlation
between the underlying indices, or the actual or expected absence of any such correlation;
|
|
o
|
interest and yield rates in the market generally;
|
|
o
|
the exchange rates and the volatility of the exchange
rates between the U.S. dollar and each of the currencies in which the equity securities included in the SX7E Index trade and the
correlation among those rates and the levels of the SX7E Index; and
|
|
o
|
a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the securities, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing
to purchase your securities in the secondary market.
|
§
|
Investing in the securities is not equivalent to investing in any underlying index.
Investing in the securities
is not equivalent to investing in any underlying index or its component stocks. Investors in the securities will not have
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
voting rights or rights to receive dividends or other
distributions or any other rights with respect to stocks that constitute any underlying index.
|
§
|
Adjustments to any underlying index could adversely affect the value of the securities.
The underlying index publisher
of any underlying index may discontinue or suspend calculation or publication of that underlying index at any time. In these
circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued
underlying index and is not precluded from considering indices that are calculated and published by the calculation agent or any
of its affiliates.
|
|
§
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the
securities
.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the
securities
on
or prior to the pricing date and prior to maturity could have adversely affected, and may continue to adversely affect, the closing
levels of the underlying indices. Any of these hedging or
trading activities on or prior to the pricing date could have
affected the initial index values and, as a result, the coupon barrier levels, which are the respective levels at or above which
the underlying indices must close on each day during a quarterly monitoring period in order for you to earn a contingent quarterly
payment or, if the securities are not redeemed prior to maturity, the downside threshold levels, which are the respective levels
at or above which the underlying indices must close on the final determination date in order for you to avoid being exposed to
the negative price performance of the
worst
performing underlying index at maturity. Additionally,
these hedging or trading activities during the term of the securities could potentially affect the values of the underlying indices
on any day during any quarterly monitoring period or on the final determination date and, accordingly, whether investors will receive
one or more contingent quarterly payments, whether the securities are automatically redeemed prior to maturity and, if the securities
are not redeemed prior to maturity, the payment to you at maturity. It is possible that these hedging or trading activities could
result in substantial returns for us or our affiliates while the value of the securities declines.
|
|
§
|
Secondary trading may be limited.
Th
e securities will not be listed on a securities exchange. There may be little or no secondary market for the securities.
Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily
.
JPMS
may act as a market maker for the securities, but is not required to do so. Because we do not expect that other market
makers will participate significantly in the secondary market for the securities, the price at which you may be able to trade your
securities is likely to depend on the price, if any, at which
JPMS
is willing to buy the securities. If at any time
JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the securities.
|
|
§
|
The U.S. federal income tax consequences of an investment in the securities are uncertain.
There is no direct legal
authority as to the proper U.S. federal income tax treatment of the securities, and we do not intend to request a ruling from the
IRS. The IRS might not accept, and a court might not uphold, the treatment of the securities as prepaid forward contracts with
associated contingent coupons, as described in “Additional Information about the Securities — Additional Provisions
— Tax considerations” in this document and in “Material U.S. Federal Income Tax Consequences” in the accompanying
product supplement. If the IRS were successful in asserting an alternative treatment for the securities, the timing and character
of any income or loss on the securities could be materially affected. Although the U.S. federal income tax treatment of contingent
quarterly payments (including any contingent quarterly payments paid in connection with an early redemption or at maturity) is
uncertain, in determining our reporting responsibilities we intend (in the absence of an administrative determination or judicial
ruling to the contrary) to treat any contingent quarterly payments as ordinary income. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term
of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect
to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments are linked.
While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially affect the tax consequences of an investment in the securities,
possibly with retroactive effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the securities, including possible alternative treatments and the issues presented by this notice.
|
Non-U.S. Holders — Tax Consideration.
The U.S. federal income tax treatment of contingent quarterly payments is uncertain, and although we believe it is reasonable
to take a position that contingent quarterly payments are not subject to U.S. withholding tax (at least if an applicable Form W-8
is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible
reduction of that rate under an
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
applicable income tax treaty), unless income from your
securities is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty
so requires, attributable to a permanent establishment in the United States). In the event of any withholding, we will not be required
to pay any additional amounts with respect to amounts so withheld. If you are not a United States person, you are urged to consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities in light of your particular
circumstances.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Russell 2000
®
Index Overview
The Russell 2000
®
Index consists of the middle
2,000 companies included in the Russell 3000ETM Index and, as a result of the index calculation methodology, consists of the smallest
2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed to track
the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000
®
Index, see the information set forth under “Equity Index Descriptions — The Russell Indices” in the accompanying
underlying supplement.
Information as of market close on February 22, 2017:
Bloomberg Ticker Symbol:
|
RTY
|
52 Week High (on 2/21/2017):
|
1,410.344
|
Current Closing Level:
|
1,403.855
|
52 Week Low (on 2/23/2016):
|
1,012.151
|
52 Weeks Ago (on 2/22/2016):
|
1,021.736
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the Russell 2000
®
Index for each quarter in the period from
January 1, 2012 through February 22, 2017. The graph following the table sets forth the daily closing levels of the Russell 2000
®
Index during the same period. The closing level of the Russell 2000
®
Index on February 22, 2017 was 1,403.855. We
obtained the closing level information above and in the table and graph below from the Bloomberg Professional
®
service
(“Bloomberg”), without independent verification. The historical levels of the Russell 2000
®
Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Russell 2000
®
Index on any day during any quarterly monitoring period, including on the final determination date. The payment of dividends on
the stocks that constitute the Russell 2000
®
Index are not reflected in its closing level and, therefore, have no
effect on the calculation of the payment at maturity.
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
2012
|
|
|
|
First Quarter
|
846.129
|
747.275
|
830.301
|
Second Quarter
|
840.626
|
737.241
|
798.487
|
Third Quarter
|
864.697
|
767.751
|
837.450
|
Fourth Quarter
|
852.495
|
769.483
|
849.350
|
2013
|
|
|
|
First Quarter
|
953.068
|
872.605
|
951.542
|
Second Quarter
|
999.985
|
901.513
|
977.475
|
Third Quarter
|
1,078.409
|
989.535
|
1,073.786
|
Fourth Quarter
|
1,163.637
|
1,043.459
|
1,163.637
|
2014
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
Second Quarter
|
1,192.964
|
1,095.986
|
1,192.964
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
2015
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
2016
|
|
|
|
First Quarter
|
1,114.028
|
953.715
|
1,114.028
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
Third Quarter
|
1,263.438
|
1,139.453
|
1,251.646
|
Fourth Quarter
|
1,388.073
|
1,156.885
|
1,357.130
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
2017
|
|
|
|
First Quarter (through February 22, 2017)
|
1,410.344
|
1,345.744
|
1,403.855
|
Russell 2000
®
Index Historical Performance – Daily Closing Levels*
January 3, 2012 to February 22, 2017
|
*The red dotted line in the graph indicates the coupon barrier
level, equal to 80% of the initial index value, and the black dotted line in the graph indicates the downside threshold level,
equal to 60% of the initial index value.
License Agreement.
The “Russell 2000
®
Index” is a trademark of FTSE Russell and has been licensed for use by JPMorgan Chase Bank, National Association and its
affiliates. For more information, see “Equity Index Descriptions — The Russell Indices — Disclaimers”
in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
S&P 500
®
Index Overview
The S&P 500
®
Index, which is calculated,
maintained and published by S&P Dow Jones Indices LLC consists of stocks of 500 companies selected to provide a performance
benchmark for the U.S. equity markets. For additional information on the S&P 500
®
Index, see the information
set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
Information as of market close on February 22, 2017:
Bloomberg Ticker Symbol:
|
SPX
|
52 Week High (on 2/21/2017):
|
2,365.38
|
Current Closing Level:
|
2,362.82
|
52 Week Low (on 2/23/2016):
|
1,921.27
|
52 Weeks Ago (on 2/22/2016):
|
1,945.50
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the S&P 500
®
Index for each quarter in the period from
January 1, 2012 through February 22, 2017. The graph following the table sets forth the daily closing levels of the S&P 500
®
Index during the same period. The closing level of the S&P 500
®
Index on February 22, 2017 was 2,362.82. We
obtained the closing level information above and in the table and graph below from Bloomberg, without independent verification.
The historical levels of the S&P 500
®
Index should not be taken as an indication of future performance, and
no assurance can be given as to the closing level of the S&P 500
®
Index on any day during any quarterly monitoring
period, including on the final determination date. The payment of dividends on the stocks that constitute the S&P 500
®
Index are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
S&P 500
®
Index
|
High
|
Low
|
Period End
|
2012
|
|
|
|
First Quarter
|
1,416.51
|
1,277.06
|
1,408.47
|
Second Quarter
|
1,419.04
|
1,278.04
|
1,362.16
|
Third Quarter
|
1,465.77
|
1,334.76
|
1,440.67
|
Fourth Quarter
|
1,461.40
|
1,353.33
|
1,426.19
|
2013
|
|
|
|
First Quarter
|
1,569.19
|
1,457.15
|
1,569.19
|
Second Quarter
|
1,669.16
|
1,541.61
|
1,606.28
|
Third Quarter
|
1,725.52
|
1,614.08
|
1,681.55
|
Fourth Quarter
|
1,848.36
|
1,655.45
|
1,848.36
|
2014
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First Quarter (through February 22, 2017)
|
2,365.38
|
2,257.83
|
2,362.82
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
S&P 500
®
Index Historical Performance – Daily Closing Levels*
January 3, 2012 to February 22, 2017
|
*The red dotted line in the graph indicates the coupon barrier
level, equal to 80% of the initial index value, and the black dotted line in the graph indicates the downside threshold level,
equal to 60% of the initial index value.
License Agreement.
“Standard & Poor’s
®
,”
“S&P
®
,” “S&P 500
®
” and “Standard & Poor’s 500”
are trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use by JPMorgan Chase & Co.
and its affiliates. See “Equity Index Descriptions — The S&P U.S. Indices — License Agreement” in the
accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
EURO STOXX
®
Banks Index Overview
The EURO STOXX
®
Banks Index is a free-float market capitalization index that currently includes 25 stocks of banks market sector leaders from 11
Eurozone countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.
Not all 11 countries are represented in the EURO STOXX
®
Banks Index at any given time. For additional information
about the EURO STOXX
®
Banks Index, see the information set forth under “Equity Index Descriptions —
The EURO STOXX
®
Banks Index” in the accompanying underlying supplement.
Information as of market close on February 22, 2017:
Bloomberg Ticker Symbol:
|
SX7E
|
52 Week High (on 1/25/2017):
|
123.47
|
Current Closing Level:
|
114.43
|
52 Week Low (on 7/6/2016):
|
78.37
|
52 Weeks Ago (on 2/22/2016):
|
99.93
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the EURO STOXX
®
Banks Index for each quarter in the period
from January 1, 2012 through February 22, 2017. The graph following the table sets forth the daily closing levels of the EURO STOXX
®
Banks Index during the same period. The closing level of the EURO STOXX
®
Banks Index on February 22, 2017 was 114.43.
We obtained the closing level information above and in the table and graph below from Bloomberg, without independent verification.
The historical levels of the EURO STOXX
®
Banks Index should not be taken as an indication of future performance,
and no assurance can be given as to the closing level of the EURO STOXX
®
Banks Index on any day during any quarterly
monitoring period, including on the final determination date. The payment of dividends on the stocks that constitute the EURO STOXX
®
Banks Index are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
EURO STOXX
®
Banks Index
|
High
|
Low
|
Period End
|
2012
|
|
|
|
First Quarter
|
120.92
|
89.16
|
107.95
|
Second Quarter
|
107.80
|
77.65
|
90.00
|
Third Quarter
|
112.04
|
73.06
|
101.56
|
Fourth Quarter
|
114.56
|
101.60
|
112.36
|
2013
|
|
|
|
First Quarter
|
127.75
|
101.95
|
102.46
|
Second Quarter
|
118.77
|
100.51
|
101.39
|
Third Quarter
|
129.63
|
100.57
|
125.84
|
Fourth Quarter
|
142.30
|
129.32
|
141.43
|
2014
|
|
|
|
First Quarter
|
156.58
|
139.31
|
155.26
|
Second Quarter
|
162.81
|
145.66
|
146.52
|
Third Quarter
|
154.60
|
135.67
|
149.21
|
Fourth Quarter
|
149.39
|
129.86
|
134.51
|
2015
|
|
|
|
First Quarter
|
158.53
|
124.29
|
157.65
|
Second Quarter
|
161.70
|
148.38
|
149.91
|
Third Quarter
|
161.45
|
128.04
|
131.34
|
Fourth Quarter
|
141.12
|
123.03
|
127.87
|
2016
|
|
|
|
First Quarter
|
125.04
|
89.65
|
101.38
|
Second Quarter
|
111.28
|
79.03
|
83.25
|
Third Quarter
|
99.11
|
78.37
|
92.54
|
Fourth Quarter
|
120.34
|
91.84
|
117.67
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
EURO STOXX
®
Banks Index
|
High
|
Low
|
Period End
|
2017
|
|
|
|
First Quarter (through February 22, 2017)
|
123.47
|
113.98
|
114.43
|
EURO STOXX
®
Banks Index Historical Performance – Daily Closing Levels*
January 2, 2012 to February 22, 2017
|
*The red dotted line in the graph indicates the coupon barrier
level, equal to 80% of the initial index value, and the black dotted line in the graph indicates the downside threshold level,
equal to 60% of the initial index value.
License Agreement.
The EURO STOXX
®
Banks
Index and STOXX
®
are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland
and/or its licensors (the “Licensors”), which are used under license. The securities based on the EURO STOXX
®
Banks Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor
any of its Licensors shall have any liability with respect thereto. See “Equity Index Descriptions — The EURO
STOXX
®
Banks Index — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Additional Information about the Securities
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional Provisions
|
|
Record date:
|
The record date for each contingent payment date is the date one business day prior to that contingent payment date.
|
Postponement of maturity date:
|
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled final determination date is not a trading day or if a market disruption event occurs on that day so that the final determination date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the third business day following that final determination date as postponed.
|
Minimum ticketing size:
|
$1,000 / 1 security
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation agent:
|
JPMS
|
The estimated value of the securities:
|
The estimated value of the securities set forth on
the cover of this document is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt
component with the same maturity as the securities, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the securities. The estimated value of the securities does not represent a minimum
price at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding
rate used in the determination of the estimated value of the securities is based on, among other things, our and our affiliates’
view of the funding value of the securities as well as the higher issuance, operational and ongoing liability management costs
of the securities in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional
information, see “Risk Factors — The estimated value of the securities is derived by reference to an internal funding
rate” in this document. The value of the derivative or derivatives underlying the economic terms of the securities is derived
from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable
derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend
rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the
estimated value of the securities on the pricing date is based on market conditions and other relevant factors and assumptions
existing at that time. See “Risk Factors — The estimated value of the securities does not represent future values of
the securities and may differ from others’ estimates” in this document.
The estimated value of the securities is lower than the
original issue price of the securities because costs associated with selling, structuring and hedging the securities are included
in the original issue price of the securities. These costs include the selling commissions paid to JPMS and other affiliated or
unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities.
Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result
in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any
profits realized in hedging our obligations under the securities. See “Risk Factors — The estimated value of the securities
is lower than the original issue price (price to public) of the securities” in this document.
|
Secondary market prices of the securities:
|
For information about factors that will impact any secondary market prices of the securities, see “Risk Factors — Secondary market prices of the securities will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of six months and one-half of the stated term of the securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.”
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
Tax considerations:
|
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-1-I. In determining our reporting responsibilities
we intend to treat (i) the securities for U.S. federal income tax purposes as prepaid forward contracts with associated contingent
coupons and (ii) any contingent quarterly payments as ordinary income, as described in the section entitled “Material U.S.
Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with
Associated Contingent Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP,
our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable treatments that the
IRS or a court may adopt, in which case the timing and character of any income or loss on the securities could be materially affected.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property
to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any
Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the securities, including possible alternative treatments and the issues presented
by this notice.
Non-U.S. Holders — Tax Considerations.
The
U.S. federal income tax treatment of contingent quarterly payments is uncertain, and although we believe it is reasonable to take
a position that contingent quarterly payments are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided),
a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of
that rate under an applicable income tax treaty), unless income from your securities is effectively connected with your conduct
of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment
in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the securities in light of your particular circumstances.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies)
on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities
or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments
linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a
“Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued
in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal
income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, our special tax counsel
is of the opinion that Section 871(m) should not apply to the securities with regard to Non-U.S. Holders. Our determination is
not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend
on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You
should consult your tax adviser regarding the potential application of Section 871(m) to the securities.
FATCA
. Withholding under legislation commonly referred
to as “FATCA” could apply to payments with respect to the securities that are treated as U.S.-source “fixed or
determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest,
if the securities are recharacterized, in whole or in part, as debt instruments, or contingent quarterly payments if they are otherwise
treated as FDAP Income). If the securities are recharacterized, in whole or in part, as debt instruments, withholding could also
apply to payments of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity. However,
under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as FDAP Income)
with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential application
of FATCA to the securities.
In the event of any withholding on the securities, we will
not be required to pay any additional amounts with respect to amounts so withheld.
|
Supplemental use of proceeds and hedging:
|
The securities are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the securities. See “How the Securities
Work” and “Hypothetical Examples” in this document for an illustration of the risk-return profile of the securities
and “Russell 2000
®
Index Overview,” “S&P 500
®
Index Overview” and “EURO
STOXX
®
Banks Index Overview” in this document for a description of the market exposure provided by the securities.
The original issue price of the securities is equal
to the estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers
and the structuring fee, plus
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due August 28, 2019
Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX
®
Banks Index
Principal at Risk Securities
|
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities, plus the estimated cost of hedging our obligations under the securities.
|
Benefit plan investor considerations:
|
See “Benefit Plan Investor Considerations” in the accompanying product supplement
|
Supplemental plan of distribution:
|
Subject to regulatory constraints, JPMS intends to use its
reasonable efforts to offer to purchase the securities in the secondary market, but is not required to do so. JPMS, acting as agent
for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition,
Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each security.
We or our affiliate may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the securities
and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
See “— Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying
product supplement.
|
Validity of the securities and the guarantee
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In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the securities offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such securities will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication of the securities and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2016.
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Contact:
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Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326).
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Where you can find more information:
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You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these
securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This document, together with the documents listed below, contains
the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
stand-alone fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying
supplement, as the securities involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the securities.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
·
Product supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
·
Underlying supplement no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
·
Prospectus supplement and prospectus, each dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Financial.
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