JPMorgan Chase Financial Company LLC
|
September 2016
|
Pricing Supplement
Registration Statement Nos. 333-209682 and 333-209682-01
Dated September 21, 2016
Filed pursuant to Rule 424(b)(2)
Structured Investments
Opportunities in U.S. and International Equities
Contingent Income Callable Securities
due September 26, 2018
All Payments on the Securities Based on the Worst
Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
Contingent Income 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 2.0375% of the stated principal amount with respect to each quarterly monitoring period during which
the closing level of each of the EURO STOXX 50
®
Index, the S&P 500
®
Index
and
the Russell
2000
®
Index on each day is
greater than or equal to
60% of its initial index value, which we refer to as
a downside threshold level. However, if, on
any
day during a quarterly monitoring period, the closing level of
any
underlying index is less than its downside threshold level, you will not receive any contingent quarterly payment for the related
quarterly monitoring period. In addition,
we will have the right to redeem the securities at our discretion on any contingent
payment date
(other than the first and final contingent payment dates) 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.
Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the
underlying indices. If the securities have not been redeemed prior to maturity and the final index value of
each
underlying
index is greater than or equal to its 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 downside threshold level, a contingent quarterly payment with respect to the final quarterly monitoring
period. If, however, the securities have not been 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, a decline
beyond the downside threshold level of any underlying index will result in few or no contingent quarterly payments and/or 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 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:
|
EURO STOXX 50
®
Index
(the “SX5E” Index), the S&P 500
®
Index (the “SPX Index”) and Russell 2000
®
Index (the “RTY Index”) (each an “underlying index”)
|
Aggregate
principal amount:
|
$12,990,000
|
Optional
early redemption:
|
We,
at our discretion
, may redeem the securities early, in whole but not in part, on any of the contingent payment dates (other than the first and final contingent payment dates) for the early redemption payment. If we intend to redeem your securities early, we will deliver notice to The Depository Trust Company, or DTC, at least three business days before the applicable contingent payment date. Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the underlying indices. No further payments will be made on the securities after they have been redeemed. No further payments will be made on the securities once they have been redeemed.
|
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 downside threshold
level on each day during a quarterly monitoring period, we will pay a contingent quarterly payment of $20.375 (2.0375% 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 downside threshold 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 downside threshold
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 downside threshold 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.
|
Downside
threshold level:
|
With respect to the SX5E Index: 1,789.308, which is equal
to 60% of its initial index value
With respect to the SPX Index: 1,297.872, which is equal to
60% of its initial index value
With respect to the RTY Index: 747.024, 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:
|
On or about September 21, 2016
|
Original
issue date:
|
September 26, 2016
(Settlement date)
|
Maturity
date:
|
September 26, 2018, 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
|
$15.00
(2)
|
$980.00
|
|
|
$5.00
(3)
|
|
Total
|
$12,990,000.00
|
$259,800.00
|
$12,730,200.00
|
|
(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 $15.00 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 $981.20 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 11 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 Callable Securities due September 26, 2018
Based on the
Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
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 SX5E Index: 2,982.18, which is its closing
level on the pricing date
With respect to the SPX Index: 2,163.12, which is its closing
level on the pricing date
With respect to the RTY Index: 1,245.040, 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:
|
December 21, 2016, March 21, 2017, June 21, 2017, September 21, 2017, December 21, 2017, March 21, 2018, June 21, 2018 and September 21, 2018, subject to postponement for non-trading days and certain market disruption events.
|
Contingent
payment dates:
|
With respect to each quarterly monitoring period other than the final quarterly monitoring period, the third business day after the related determination date on which the related quarterly monitoring period ends. The payment of the contingent quarterly payment, if any, with respect to the final quarterly monitoring period will be made on the maturity date.
|
CUSIP/ISIN:
|
46646ED25 / US46646ED259
|
Listing:
|
The securities will not be listed on any securities exchange.
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Investment
Summary
The Contingent
Income Callable Securities due September 26, 2018 Based on the Worst Performing of the EURO STOXX 50
®
Index, the
S&P 500
®
Index and the Russell 2000
®
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 $20.375 (2.0375% 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 downside threshold level. The contingent quarterly payment, if any, will be payable quarterly
on the relevant contingent payment date, which is the third business day after the determination date on which the related quarterly
monitoring period ends or, in the case of the contingent quarterly payment, if any, with respect to the final quarterly monitoring
period, the maturity date. However, If the closing level of any underlying index is less than its downside threshold 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 downside threshold
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 downside threshold levels on each day during some quarterly monitoring periods, one or more underlying indices may
fluctuate below their respective downside threshold level(s) on any day during others.
In addition,
we will have the right to redeem the securities at our discretion
on any contingent payment date (other than the first
and final contingent payment dates) for the early redemption payment equal to the stated principal amount
plus
any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period. Any
early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the
underlying indices.
If the securities have not previously been redeemed and the final index
value of each underlying index is greater than or equal to its 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 downside threshold level, a 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 Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
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 2.0375% 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
60% of its initial index value, which
we refer to as a downside threshold 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
|
On any contingent payment date (other
than the first and final contingent payment dates), we elect to redeem the securities.
§
The securities will be redeemed for (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise
due with respect to the related quarterly monitoring period.
§
Investors will not participate in any appreciation of any underlying index from its initial index value.
Any early redemption of the securities
will be at our discretion and will not automatically occur based on the performance of the underlying indices. It is more likely
that we will redeem the securities when it would otherwise be advantageous for you to continue to hold the securities. As such,
we will be more likely to redeem the securities when the closing level of each underlying index is at or above its downside threshold
level, which would otherwise potentially result in an amount of interest payable on the securities that is greater than instruments
issued by us of a comparable maturity and credit rating trading in the market. In other words, we will be more likely to redeem
the securities when the securities are paying above-market interest.
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.
Under these circumstances, 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. On the other hand, we will be less likely to exercise our redemption right when the closing level
of any underlying index is below its downside threshold level, such that you will receive no contingent quarterly payments and/or
that you might suffer a significant loss on your investment in the securities at maturity. Therefore, if we do not exercise our
redemption right, it is more likely that you will receive few or no contingent quarterly payments and that you will suffer a significant
loss on your investment at maturity.
|
Scenario
2
|
The securities are not redeemed prior
to maturity, and the final index value of each underlying index is
greater than or equal to
its downside threshold level.
§
The payment due at maturity will be (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 downside threshold level, a contingent
quarterly payment with respect to the final quarterly monitoring period.
§
Investors will not participate in any appreciation of any underlying index from its initial index value.
|
Scenario
3
|
The securities are not redeemed prior
to maturity, and the final index value of any underlying index is
less than
its downside threshold level.
§
The payment due at maturity will be (i) the stated principal amount
times
(ii) the index performance factor of the
worst performing underlying index.
Investors will lose some, and may lose
all, of their principal in this scenario.
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
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, (2) the final index values
and (3) whether we exercise our option to redeem the securities.
Diagram
#1: First Quarterly Monitoring Period
Diagram #2: Quarterly Monitoring Periods
(Other Than the First and Final Quarterly Monitoring Periods)
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Diagram
#3: Payment at Maturity if No 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 7.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
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, how to calculate the early redemption payment if we elect to redeem the securities early 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 will be determined by reference to the closing level of each underlying index
on each day during a quarterly monitoring period 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. Any early redemption of the securities will be at our discretion and will not automatically occur
based on the performance of the underlying indices. The actual initial index value and downside threshold level for each underlying
index will be provided in the 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 $20.375 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 downside threshold level on each day during the related quarterly monitoring period.
|
Early redemption:
|
We,
at our discretion
, may redeem the securities early, in whole but not in part, on any of the contingent payment dates (other than the first and final contingent payment dates) for the 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 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 downside threshold 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 SX5E Index: 3,000.00
With respect to the SPX Index: 2,100.00
With respect to the RTY Index: 1,200.00
|
Hypothetical downside threshold level:
|
With respect to the SX5E Index: 1,800.00, which is 60% of the
hypothetical initial index value for such index
With respect to the SPX Index: 1,260.00, which is 60% of the hypothetical
initial index value for such index
With respect to the RTY Index: 720.00, which is 60% of the hypothetical
initial index value for such index
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
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
|
|
SX5E Index
|
SPX Index
|
RTY Index
|
|
Hypothetical Quarterly Monitoring Period 1
|
2,500
(
at or above
downside threshold level)
|
1,800
(
at or above
downside threshold level)
|
1,000
(
at or above
downside threshold level)
|
$20.375
|
|
|
|
|
|
Hypothetical Quarterly Monitoring Period 2
|
1,700
(
below
downside threshold level)
|
1,100
(
below
downside threshold level)
|
1,050
(
at or above
downside threshold level)
|
$0
|
|
|
|
|
|
Hypothetical Quarterly Monitoring Period 3
|
2,600
(
at or above
downside threshold level)
|
1,900
(
at or above
downside threshold level)
|
600
(
below
downside threshold level)
|
$0
|
|
|
|
|
|
Hypothetical Quarterly Monitoring Period 4
|
1,400
(
below
downside threshold level)
|
1,000
(
below
downside threshold level)
|
500
(
below
downside threshold level)
|
$0
|
During hypothetical
quarterly monitoring period 1, each underlying index closes at or above its downside threshold level on each day. Therefore, a
contingent quarterly payment of $20.375 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 downside threshold level
on each day but the other underlying indices close below their respective downside threshold 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 downside threshold 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 downside threshold level on any day during the related quarterly monitoring period.
How
to calculate the early redemption payment if we elect to redeem the securities early:
|
Lowest closing level during quarterly monitoring period
|
Early redemption payment
|
|
SX5E Index
|
SPX Index
|
RTY Index
|
|
Example 1:
|
1,700
(
below
downside threshold level)
|
1,800
(
at or above
downside threshold level)
|
600
(
below
downside threshold level)
|
$1,000 (the stated principal amount)
|
Example 2:
|
2,600
(
at or above
downside threshold level)
|
1,900
(
at or above
downside threshold level)
|
1,100
(
at or above
downside threshold level)
|
$1,020.375 (the stated principal amount plus the contingent quarterly payment with respect to the related quarterly monitoring period)
|
The securities
are not redeemable prior to the second contingent payment date.
In example
1, we elect to redeem the securities early on a contingent payment date (other than the first and final contingent payment dates).
During the related quarterly monitoring period, one underlying index closes at or above its downside threshold level on each day
but the other underlying indices close below their respective downside threshold levels on at least one day. Therefore, you receive
an early redemption payment equal to the stated principal amount of the securities. No further payments will be made on the securities
once they have been redeemed.
In example
2, we elect to redeem the securities early on a contingent payment date (other than the first and final contingent payment dates).
During the related quarterly monitoring period, each underlying index closes at or above its downside threshold
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
level on
each day. Therefore, you receive an early redemption payment equal to the stated principal amount
plus
the contingent quarterly
payment 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 redeemed early):
|
Lowest closing levels during final quarterly monitoring period
|
Final index value
|
Payment at maturity
|
|
SX5E Index
|
SPX Index
|
RTY Index
|
SX5E Index
|
SPX Index
|
RTY Index
|
|
Example 1:
|
2,700
(
at or above
downside threshold level)
|
1,800
(
at or above
downside threshold level)
|
1,000
(
at or above
downside threshold level)
|
2,750
(
at or above
downside threshold level)
|
1,900
(
at or above
downside threshold level)
|
1,050
(
at or above
downside threshold level)
|
$1,020.375 (the stated principal amount plus the contingent quarterly payment with respect to the final quarterly monitoring period)
|
Example 2:
|
1,700
(
below
downside threshold level)
|
1,200
(
below
downside threshold level)
|
600
(
below
downside threshold level)
|
2,700
(
at or above
downside threshold level)
|
1,800
(
at or above
downside threshold level)
|
1,100
(
at or above
downside threshold level)
|
$1,000 (the stated principal amount)
|
Example 3:
|
2,600
(
at or above
downside threshold level)
|
1,150
(
below
downside threshold level)
|
600
(
below
downside threshold level)
|
3,000
(
at or above
downside threshold level)
|
1,050
(
below
downside threshold level)
|
650
(
below
downside threshold level)
|
$1,000 × index performance factor of the
worst performing underlying index =
$1,000 × (1,050 / 2,100) = $500.00
|
Example 4:
|
1,050
(
below
downside threshold level)
|
1,000
(
below
downside threshold level)
|
550
(
below
downside threshold level)
|
1,200
(
below
downside threshold level)
|
1,100
(
below
downside threshold level)
|
600
(
below
downside threshold level)
|
$1,000 × (1,200 / 3,000) = $400.00
|
Example 5:
|
1,200
(
below
downside threshold level)
|
500
(
below
downside threshold level)
|
500
(
below
downside threshold level)
|
1,400
(
below
downside threshold level)
|
630
(
below
downside threshold level)
|
550
(
below
downside threshold level)
|
$1,000 × (630 / 2,100) = $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 downside threshold 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 is downside threshold 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.
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.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
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 Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
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 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 downside threshold 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 downside threshold level. If the
closing level of any underlying index is below its downside threshold 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 downside threshold 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 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 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 downside threshold 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 downside threshold 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 Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
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 downside threshold level on any day during a quarterly
monitoring period or 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
downside threshold level
,
if any.
|
|
§
|
The securities are subject to risks associated with securities
issued by non-U.S. companies, with respect to the SX5E Index.
The equity securities included in the SX5E 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 SX5E 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 SX5E Index are based,
although any currency fluctuations could affect the performance of the SX5E 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.
|
|
§
|
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.
|
|
§
|
Early
redemption risk.
The term of your investment in the securities
may be limited to as short as approximately six months by the optional early redemption feature of the securities. Any early redemption
of the securities will be at our discretion and will not automatically occur based on the performance of the underlying indices.
It is more likely that we will redeem the securities when it would otherwise be advantageous for you to continue to hold the securities.
As
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
such,
we will be more likely to redeem the securities when the closing level of each underlying index is at or above its downside threshold
level, which would otherwise potentially result in an amount of interest payable on the securities that is greater than instruments
issued by us of a comparable maturity and credit rating trading in the market. In other words, we will be more likely to redeem
the securities when the securities are paying above-market interest.
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. Under these circumstances, 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. On the other hand, we will be less likely to exercise our
redemption right when the closing level of any underlying index is below its downside threshold level, such that you will receive
no contingent quarterly payments and/or that you might suffer a significant loss on your investment in the securities at maturity.
Therefore, if we do not exercise our redemption right, it is more likely that you will receive few or no contingent quarterly
payments and that you will suffer a significant loss on your investment at maturity.
|
§
|
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 and the downside threshold levels and will determine the final index values and whether the closing value of each
underlying index on any day during any quarterly monitoring period or on the final determination date is below its downside threshold
level. 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 upon an early redemption.
|
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
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
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 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 downside threshold level on any day during any quarterly monitoring period;
|
|
o
|
whether we are expected to exercise our right to redeem
the securities early;
|
|
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 SX5E Index trade and the
correlation among those rates and the levels of the SX5E 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.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
|
§
|
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 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 downside threshold 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 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 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
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
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). 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 Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
EURO
STOXX 50
®
Index Overview
The EURO
STOXX 50
®
Index consists of 50 component stocks of market sector leaders from within the Eurozone. For additional
information about the EURO STOXX 50
®
Index, see the information set forth under “Equity Index Descriptions
― The EURO STOXX 50
®
Index” in the accompanying underlying supplement.
Information
as of market close on September 21, 2016:
Bloomberg
Ticker Symbol:
|
SX5E
|
52
Week High (on 11/30/2015):
|
3,506.45
|
Current
Closing Level:
|
2,982.18
|
52
Week Low (on 2/11/2016):
|
2,680.35
|
52
Weeks Ago (on 9/21/2015):
|
3,184.72
|
|
|
The following
table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the EURO STOXX 50
®
Index for each quarter in the period from January 1, 2011 through September 21, 2016. The graph following the table sets
forth the daily closing levels of the EURO STOXX 50
®
Index during the same period. The closing level of the EURO
STOXX 50
®
Index on September 21, 2016 was 2,982.18. We obtained the closing level information above and the information
in the table and graph below from Bloomberg Professional
®
service (“Bloomberg”), without independent
verification. The historical levels of the EURO STOXX 50
®
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 50
®
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 50
®
Index are not reflected in its closing level and, therefore, have no effect on the calculation
of the payment at maturity.
EURO
STOXX 50
®
Index
|
High
|
Low
|
Period
End
|
2011
|
|
|
|
First Quarter
|
3,068.00
|
2,721.24
|
2,910.91
|
Second Quarter
|
3,011.25
|
2,715.88
|
2,848.53
|
Third Quarter
|
2,875.67
|
1,995.01
|
2,179.66
|
Fourth Quarter
|
2,476.92
|
2,090.25
|
2,316.55
|
2012
|
|
|
|
First Quarter
|
2,608.42
|
2,286.45
|
2,477.28
|
Second Quarter
|
2,501.18
|
2,068.66
|
2,264.72
|
Third Quarter
|
2,594.56
|
2,151.54
|
2,454.26
|
Fourth Quarter
|
2,659.95
|
2,427.32
|
2,635.93
|
2013
|
|
|
|
First Quarter
|
2,749.27
|
2,570.52
|
2,624.02
|
Second Quarter
|
2,835.87
|
2,511.83
|
2,602.59
|
Third Quarter
|
2,936.20
|
2,570.76
|
2,893.15
|
Fourth Quarter
|
3,111.37
|
2,902.12
|
3,109.00
|
2014
|
|
|
|
First Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
Second Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
Third Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
Fourth Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
2015
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
EURO
STOXX 50
®
Index
|
High
|
Low
|
Period
End
|
2016
|
|
|
|
First Quarter
|
3,178.01
|
2,680.35
|
3,004.93
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
Third Quarter (through September 21, 2016)
|
3,091.66
|
2,761.37
|
2,982.18
|
EURO STOXX 50
®
Index Historical Performance – Daily Closing Levels
January 3, 2011 to September 21, 2016
|
*The dotted line in the graph indicates the downside threshold
level, equal to 60% of the initial index value.
License
Agreement.
The EURO STOXX 50
®
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 50
®
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 50
®
Index — License Agreement” in the accompanying underlying
supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
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 September 21, 2016:
Bloomberg
Ticker Symbol:
|
SPX
|
52
Week High (on 8/15/2016):
|
2,190.15
|
Current
Closing Level:
|
2,163.12
|
52
Week Low (on 2/11/2016):
|
1,829.08
|
52
Weeks Ago (on 9/21/2015):
|
1,966.97
|
|
|
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, 2011 through September 21, 2016. 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 September 21, 2016 was 2,163.12. 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
|
2011
|
|
|
|
First Quarter
|
1,343.01
|
1,256.88
|
1,325.83
|
Second Quarter
|
1,363.61
|
1,265.42
|
1,320.64
|
Third Quarter
|
1,353.22
|
1,119.46
|
1,131.42
|
Fourth Quarter
|
1,285.09
|
1,099.23
|
1,257.60
|
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
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
S&P
500
®
Index
|
High
|
Low
|
Period
End
|
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 (through September 21, 2016)
|
2,190.15
|
2,088.55
|
2,163.12
|
S&P 500
®
Index Historical Performance – Daily Closing Levels
January 3, 2011 to September 21, 2016
|
* The 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 Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Russell
2000
®
Index Overview
The Russell
2000
®
Index consists of the middle 2,000 companies included in the Russell 3000E
TM
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 September 21, 2016:
Bloomberg
Ticker Symbol:
|
RTY
|
52
Week High (on 9/7/2016):
|
1,261.008
|
Current
Closing Level:
|
1,245.040
|
52
Week Low (on 2/11/2016):
|
953.715
|
52
Weeks Ago (on 9/21/2015):
|
1,161.087
|
|
|
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, 2011 through September 21, 2016. 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 September 21, 2016 was 1,245.040. We obtained the closing level information above and in the table
and graph below from 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
|
2011
|
|
|
|
First Quarter
|
843.549
|
773.184
|
843.549
|
Second Quarter
|
865.291
|
777.197
|
827.429
|
Third Quarter
|
858.113
|
643.421
|
644.156
|
Fourth Quarter
|
765.432
|
609.490
|
740.916
|
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
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Russell
2000
®
Index
|
High
|
Low
|
Period
End
|
2016
|
|
|
|
First Quarter
|
1,114.028
|
935.715
|
1,114.028
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
Third Quarter (through September 21, 2016)
|
1,261.008
|
1,139.453
|
1,245.040
|
Russell 2000
®
Index Historical Performance – Daily Closing Levels
January 3, 2011 to September 21, 2016
|
*The 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 Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
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.”
|
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
|
JPMorgan Chase Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
|
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.
Non-U.S. holders should also note that recently
promulgated Treasury regulations imposing a withholding tax on certain “dividend equivalents” under certain “equity
linked instruments” will not apply 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). Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount
treated as FDAP Income) of a taxable disposition, including an early redemption or redemption at maturity, of the securities. 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 “EURO STOXX 50
®
Index Overview,” “S&P 500
®
Index Overview” and “Russell
2000
®
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 (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:
|
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 Financial Company LLC
Contingent Income Callable Securities due September 26, 2018
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
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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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