The information
in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer
to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject
to completion dated September 20, 2017
|
JPMorgan Chase Financial Company LLC
|
Pricing
Supplement
Registration
Statement Nos. 333-209682 and 333-209682-01
Dated
September , 2017
Filed
pursuant to Rule 424(b)(2)
|
Structured Investments
Opportunities in International Equities
Dual Directional Trigger Jump Securities Based
on the Performance of an Equally-Weighted Basket of Four Indices due September 27, 2022
Principal at Risk Securities
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
The Dual Directional Trigger Jump
Securities will pay no interest and do not guarantee any return of your principal at maturity. At maturity, you will receive for
each security that you hold an amount in cash that will vary depending on the performance of the basket, as determined on the
valuation date. If the final basket value is greater than or equal to the initial basket value, investors will receive at maturity,
for each security, the greater of a cash payment that reflects the basket percent change and an upside payment in addition to
the stated principal amount. If the final basket value is less than the initial basket value but by no more than 20%, investors
will receive at maturity the stated principal amount of the securities plus an unleveraged positive return equal to the absolute
value of the percentage decline, which will effectively be limited to a positive 20% return. However, if the basket has declined
by more than 20% in value, at maturity investors will be negatively exposed to the full amount of the percentage decline in the
basket and will lose 1% of the stated principal amount for every 1% of decline in the value of the basket over the term of the
securities. The securities are for investors who seek exposure to an equally weighted basket of the four indices specified below
and who are willing to risk their principal and forgo current income in exchange for the upside payment and absolute return features
that in each case apply to a limited range of the performance of the basket. The securities are unsecured and unsubordinated obligations
of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally
guaranteed by JPMorgan Chase & Co., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program.
Any
payment on the securities is subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk
of JPMorgan Chase & Co., as guarantor of the securities. The investor may lose some or all of the stated principal amount
of the securities.
|
SUMMARY
TERMS
|
|
Issuer:
|
JPMorgan Chase Financial Company LLC, an indirect,
wholly owned finance subsidiary of JPMorgan Chase & Co.
|
|
Guarantor:
|
JPMorgan Chase & Co.
|
|
Basket:
|
Underlying
indices
|
Bloomberg
ticker symbol
|
Basket
weighting
|
|
|
Hang Seng China Enterprises Index (the “HSCEI
Index”)
|
HSCEI
|
25%
|
|
|
KOSPI
200 Index
(“the
KOSPI2 Index”)
|
KOSPI2
|
25%
|
|
|
MSCI
Taiwan Index
(the
“TAMSCI Index”)
|
TAMSCI
|
25%
|
|
|
MSCI
Singapore Free Index
(the
“SIMSCI Index”)
|
SIMSCI
|
25%
|
|
We refer to the HSCEI Index, the KOSPI2 Index, the TAMSCI Index and the SIMSCI
Index as the underlying indices.
|
|
Aggregate principal amount:
|
$
|
|
Payment
at maturity:
|
If the final basket value is
greater than or equal to
the initial basket
value, for each $10 stated principal amount security:
|
|
|
$10 + the greater of (a) $10 × basket percent change and (b) the upside
payment
|
|
|
If the final basket value is
less than
the
initial basket value but is
greater than or equal to
the trigger level, for each $10 stated principal amount security:
|
|
|
$10 + ($10 × absolute basket return)
|
|
|
In this scenario, you will receive a 1% positive
return on the securities for each 1% negative return on the basket. In no event will this amount exceed the stated
principal amount plus $2.00.
|
|
|
If the final basket value is
less than
the
trigger level, for each $10 stated principal amount security:
|
|
|
$10 × basket performance factor
|
|
|
This amount will be less than the stated principal amount of $10 per $10 stated
principal amount security and will represent a loss of more than 20%, and possibly all, of your investment.
|
|
Upside payment:
|
At least $4.725 per $10 stated principal amount security (at least 47.25% of
the stated principal amount). The actual upside payment will be provided in the pricing supplement and will not
be less than $4.725 per $10 stated principal amount security.
|
|
Basket percent change:
|
(final basket value – initial basket value) / initial basket value
|
|
Absolute
basket return:
|
The absolute value of the basket percent change. For example, a -5%
basket percent change will result in a +5% absolute basket return.
|
|
Trigger level:
|
80, which is 80% of the initial basket value
|
|
Basket performance factor:
|
final basket value / initial basket value
|
|
Stated principal amount:
|
$10 per security
|
|
Issue price:
|
$10 per security (see “Commissions and issue price” below)
|
|
Pricing date:
|
September , 2017 (expected to price on or about
September 22, 2017)
|
|
Original issue date (settlement
date):
|
September , 2017 (3
business days after the pricing date)
|
|
Valuation date:
|
September 22, 2022, subject to postponement in the event of certain market disruption
events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked
to Multiple Underlyings” in the accompanying product supplement
|
|
Maturity date:
|
September 27, 2022, 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
|
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
|
|
Terms continued on the following page
|
|
Commissions and issue price:
|
Price
to public
(1)
|
Fees and commissions
|
Proceeds to issuer
|
|
Per security
|
$10.00
|
$0.25
(2)
|
$9.708
|
|
|
|
$0.042
(3)
|
|
|
Total
|
$
|
$
|
$
|
|
|
(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 it receives from us to Morgan Stanley Smith Barney LLC (“Morgan
Stanley Wealth Management”). In no event will these selling commissions exceed $0.25 per $10 stated principal amount security.
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 $0.042 for each $10 stated principal amount security
|
If the securities priced today
and assuming an upside payment equal to the minimum listed above, the estimated value of the securities would be approximately
$9.591 per $10 stated principal amount security. The estimated value of the securities on the pricing date will be provided in
the pricing supplement and will not be less than $9.40 per $10 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
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
Terms continued from previous page:
|
|
Initial
basket value:
|
Set equal to 100 on the pricing date
|
|
Final basket value:
|
The basket closing value on the valuation date
|
|
Basket closing value:
|
The basket closing value
on the valuation date will be calculated as follows:
100 × [1 + sum of
(index return of each underlying index × basket weighting of that underlying index)]
|
|
Index return:
|
With respect to each underlying
index:
(final
index value – initial index value)
initial
index value
|
|
Initial index value:
|
With respect to each underlying index, the closing level of that underlying index on the
pricing date
|
|
Final index value:
|
With respect to each underlying index, the closing level of that underlying index on the
valuation date
|
|
CUSIP / ISIN:
|
48129J459 / US48129J4590
|
|
Listing:
|
The securities will not be listed on any securities exchange.
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
Investment Summary
The Dual Directional Trigger Jump Securities
Principal at Risk Securities
The Dual Directional Trigger Jump Securities Based on the Performance
of an Equally-Weighted Basket of Four Indices due September 27, 2022 (the “securities”) can be used:
|
|
§
|
As an alternative to direct exposure to the underlying indices that provides a potential return equal to the greater of the
basket percent change and at least 47.25% (as reflected in the upside payment of at least $4.725 per $10 stated principal amount
security) if the final basket value is greater than or equal to the initial basket value. The actual upside payment will be provided
in the pricing supplement and will not be less than $4.725 per $10 stated principal amount security.
|
|
|
§
|
To enhance returns and potentially outperform the basket in a moderately bullish scenario.
|
|
|
§
|
To provide an unleveraged positive return in the event of a decline of the basket but only if the final basket value is
greater
than or equal to
the trigger level.
|
If the final basket value is less than the
trigger level, the securities are exposed on a 1-to-1 basis to any percentage decline of the final basket value from the initial
basket value. Accordingly, investors may lose their entire initial investment in the securities.
|
Maturity:
|
5 years
|
|
Upside payment:
|
At least $4.725 (at least 47.25% of the stated principal amount) per $10 stated principal amount security. The actual upside payment will be provided in the pricing supplement.
|
|
Trigger level:
|
80% of the initial basket value
|
|
Minimum payment at maturity:
|
None. Investors may lose their entire initial investment in the securities.
|
|
Interest:
|
None
|
|
Basket weightings:
|
25% for the HSCEI Index, 25% for the KOSPI2 Index, 25% for the TAMSCI Index and 25% for the SIMSCI Index
|
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, each underlying
index is an “Index.”
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
Key Investment Rationale
The securities offer a potential return at maturity based on
full participation in the positive performance of the underlying asset, subject to a contingent minimum return, if the final basket
value is greater than or equal to the initial basket value, and provides the opportunity, through the absolute return feature,
to earn a positive return at maturity for a limited range of negative performance of the underlying asset. At maturity, if the
underlying asset is
flat
or has
appreciated
, investors will receive the stated principal amount of their investment
plus the performance of the underlying asset, subject to the contingent minimum return. At maturity, if the underlying asset has
depreciated
in value but by no more than 20%, investors will receive the stated principal amount of their investment plus
an unleveraged positive return equal to the absolute value of the percentage decline in the underlying asset, which will effectively
be limited to a positive 20% return. However, at maturity, if the underlying asset has
depreciated
in value by more than
20%, investors will be negatively exposed to the full amount of the percentage decline in the underlying asset and will lose 1%
of the stated principal amount for every 1% of decline, without any buffer.
Investors may lose some or all of the stated principal
amount of the securities.
|
Absolute Return Feature
|
The securities offer investors an opportunity to earn an unleveraged positive return if the final basket value is less than or equal to the initial basket value
but
is greater than or equal to the trigger level.
|
|
Upside Scenario
|
The final basket value is greater than or equal to the initial basket value and, at maturity, the securities pay the stated principal amount of $10
plus
a return equal to the greater of the basket percent change and the upside payment of at least $4.725 (at least 147.25% of the stated principal amount) per $10 stated principal amount security. The actual upside payment will be provided in the pricing supplement.
|
|
Absolute Return Scenario
|
The final basket value is less than the initial basket value but is greater than or equal to the trigger level, which is 80% of the initial index value. In this case, the securities pay a 1% positive return for each 1% negative return of the basket. For example, if the final basket value is 5% less than the initial basket value, the securities will provide a total positive return of 5% at maturity. The maximum return you may receive in this scenario is a positive 20% return at maturity.
|
|
Downside Scenario
|
The final basket value is less than the trigger level. In this case, the securities pay an amount that is over 20% less than the stated principal amount and this decrease will be by an amount that is proportionate to the percentage decline in the final basket value from the initial basket value. (Example: if the basket decreases in value by 30%, the securities will pay an amount that is less than the stated principal amount by 30%, or $7 per $10 stated principal amount security.)
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
How the Dual Directional Trigger Jump Securities
Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the securities based on the following terms:
|
Stated principal amount:
|
$10 per $10 stated principal amount security
|
|
Hypothetical upside payment:
|
$4.725 (47.25% of the stated principal amount) per $10 stated principal amount security (which represents the lowest hypothetical upside payment)*
|
|
Trigger level:
|
80% of the initial basket value
|
*The actual upside payment will be provided in the
pricing supplement and will not be less than $4.725 per $10 stated principal amount security.
|
Dual Directional Trigger Jump Securities Payoff Diagram
|
|
How it works
|
|
§
|
Upside Scenario.
If the final basket
value is greater than or equal to the initial basket value, for each $10 principal amount security, investors will receive the
$10 stated principal amount
plus
the greater of (a) $10 × basket percent change and (b) the upside payment. Under
the hypothetical terms of the securities, in the payoff diagram, an investor would receive the payment at maturity of $14.725 per
$10 stated principal amount security if the basket percent change is no more than 47.25% and would receive $10
plus
an amount
that represents a 1-to-1 participation in the appreciation of the basket if the basket percent change is greater than 47.25%.
|
|
|
§
|
For example, if the basket appreciates 5%, investors will receive a 47.25% return, or $14.725 per $10 stated principal amount
security.
|
|
|
§
|
For example, if the basket appreciates 60%, investors will receive a 60% return, or $16.00 per $10 stated principal amount
security.
|
|
|
§
|
Absolute Return Scenario.
If the final
basket value is less than the initial basket value but is greater than or equal to the trigger level, investors will receive a
1% positive return on the securities for each 1% negative return of the basket.
|
|
|
§
|
For example, if the basket depreciates 5%, investors will receive a 5% return, or $10.50 per $10 stated principal amount security.
|
The maximum return you may receive
in this scenario is a positive 20% return at maturity.
|
|
§
|
Downside Scenario.
If the final basket
value is less than the trigger level, investors will receive an amount that is significantly less than the stated principal amount
by an amount proportionate to the percentage decrease of the final basket value from the initial basket value. This amount will
be less than 80% of the stated principal amount per $10 stated principal amount security.
|
|
|
§
|
For example, if the basket depreciates 50%, investors will lose 50% of their principal and receive only $5 per $10 stated principal
amount security at maturity, or 50% of the stated principal amount.
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
The hypothetical returns and hypothetical payments
on the securities shown above apply
only if you hold the securities for their entire term
. 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
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
Hypothetical Payouts on the
Securities at Maturity
Below are four examples of how to calculate the payment at maturity
based on the hypothetical values of the underlying indices in the respective tables below. The following hypothetical examples
are provided for illustrative purposes only. Actual results may vary.
The hypothetical initial index value of each underlying index
of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual initial index value of any underlying
index. The actual initial index value of each underlying index will be the closing level of that underlying index on the
pricing date and will be provided in the pricing supplement. For historical data regarding the actual closing levels of each
underlying index, please see the historical information set forth under “Basket Overview” in this pricing supplement.
Example 1
: The final basket
value is greater than or equal to the initial basket value, and the payment at maturity is
equal to
the hypothetical upside
payment.
|
Underlying
index
|
Basket
weightings
|
Hypothetical
initial index value
|
Hypothetical
final index value
|
Index
return
|
|
HSCEI Index
|
25%
|
100.00
|
102.50
|
+2.50%
|
|
KOSPI2 Index
|
25%
|
100.00
|
102.50
|
+2.50%
|
|
TAMSCI Index
|
25%
|
100.00
|
102.50
|
+2.50%
|
|
SIMSCI Index
|
25%
|
100.00
|
102.50
|
+2.50%
|
Basket percent change
= (final basket value – initial basket value) / initial basket value
Initial basket value
= 100
Final basket level =
100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying index)]
Using the hypothetical
values above, the sum of the index return of each underlying index times the basket weighting of that underlying index:
|
[(102.50 – 100.00) / 100.00] × 25% = 0.625%
|
|
[(102.50 – 100.00) / 100.00] × 25% = 0.625%
|
|
[(102.50 – 100.00) / 100.00] × 25% = 0.625%
|
|
[(102.50 – 100.00) / 100.00] × 25% = 0.625%
|
|
0.625% + 0.625% + 0.625% + 0.625% = 2.50%
|
|
Final
basket value
|
=
|
100
× (1 + 2.50%), which equals 102.50
|
|
|
|
|
|
Basket percent change
|
=
|
(102.50 – 100) / 100, which equals 2.50%
|
Because $10
times
the basket percent change ($0.25) is
less than or equal to the upside payment of $4.725, the payment at maturity per $10 stated principal amount security will equal
$10
plus
the upside payment of $4.725 for a payment at maturity of $14.725 per $10 stated principal amount security.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
Example 2
: The final basket value
is greater than the initial basket value, and the payment at maturity is
greater than
the hypothetical upside payment at
maturity.
|
Underlying
index
|
Basket
weightings
|
Hypothetical
initial index value
|
Hypothetical
final index value
|
Index
return
|
|
HSCEI Index
|
25%
|
100.00
|
160.00
|
+60.00%
|
|
KOSPI2 Index
|
25%
|
100.00
|
160.00
|
+60.00%
|
|
TAMSCI Index
|
25%
|
100.00
|
160.00
|
+60.00%
|
|
SIMSCI Index
|
25%
|
100.00
|
160.00
|
+60.00%
|
Basket percent change
= (final basket value – initial basket value) / initial basket value
Initial basket value
= 100
Final basket level =
100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying index)]
Using the hypothetical
values above, the sum of the index return of each underlying index times the basket weighting of that underlying index:
|
[(160.00 – 100.00) / 100.00] × 25% = 15.00%
|
|
[(160.00 – 100.00) / 100.00] × 25% = 15.00%
|
|
[(160.00 – 100.00) / 100.00] × 25% = 15.00%
|
|
[(160.00 – 100.00) / 100.00] × 25% = 15.00%
|
|
15.00% + 15.00% + 15.00% + 15.00% = 60.00%
|
|
Final basket value
|
=
|
100 × (1 + 60%), which equals 160
|
|
|
|
|
|
Basket percent change
|
=
|
(160 – 100) / 100, which equals 60%
|
Because $10
times
the basket percent change ($6.00) is
greater than the upside payment of $4.725, the payment at maturity per $10 stated principal amount security will equal $10
plus
the
product of
$10 and the basket percent change or:
$10 + ($10 × 60%) = $16.00
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
Example 3
: The final basket value
is less than the initial basket value but is not less than the trigger level.
|
Underlying
index
|
Basket
weightings
|
Hypothetical
initial index value
|
Hypothetical
final index value
|
Index
return
|
|
HSCEI Index
|
25%
|
100.00
|
90.00
|
-10.00%
|
|
KOSPI2 Index
|
25%
|
100.00
|
90.00
|
-10.00%
|
|
TAMSCI Index
|
25%
|
100.00
|
90.00
|
-10.00%
|
|
SIMSCI Index
|
25%
|
100.00
|
90.00
|
-10.00%
|
Basket percent change
= (final basket value – initial basket value) / initial basket value
Initial basket value
= 100
Final basket level =
100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying index)]
Using the hypothetical
values above, the sum of the index return of each underlying index times the basket weighting of that underlying index:
|
[(90.00 – 100.00) / 100.00] × 25% = -2.50%
|
|
[(90.00 – 100.00) / 100.00] × 25% = -2.50%
|
|
[(90.00 – 100.00) / 100.00] × 25% = -2.50%
|
|
[(90.00 – 100.00) / 100.00] × 25% = -2.50%
|
|
-2.50% + -2.50% + -2.50% + -2.50% = -10.00%
|
|
Final basket value
|
=
|
100
× [1 + (-10%)], which equals 90
|
|
|
|
|
|
Basket percent change
|
=
|
(90 – 100) / 100, which equals -10%
|
|
|
|
|
|
Absolute basket return
|
=
|
absolute value of the basket percent change
|
|
|
|
|
|
Trigger level
|
=
|
80
|
Although the final basket value is less than the initial basket
value, because the final basket value is greater than or equal to the trigger level, the payment at maturity per $10 stated principal
amount security will equal (a) $10
plus
(b) (i) $10
times
(ii) the absolute basket return or:
$10 + ($10 × 10%) = $11.00
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
Example 4
: The final basket value
is less than the initial basket value and has decreased below the trigger level.
|
Underlying
index
|
Basket
weightings
|
Hypothetical
initial index value
|
Hypothetical
final index value
|
Index
return
|
|
HSCEI Index
|
25%
|
100.00
|
20.00
|
-80.00%
|
|
KOSPI2 Index
|
25%
|
100.00
|
40.00
|
-60.00%
|
|
TAMSCI Index
|
25%
|
100.00
|
100.00
|
0.00%
|
|
SIMSCI Index
|
25%
|
100.00
|
40.00
|
-60.00%
|
Basket performance factor
= final basket value / initial basket value
Initial basket value
= 100
Final basket level =
100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying index)]
Using the hypothetical
values above, the sum of the index return of each underlying index times the basket weighting of that underlying index:
|
[(20.00 – 100.00) / 100.00] × 25% = -20.00%
|
|
[(40.00 – 100.00) / 100.00] × 25% = -15.00%
|
|
[(100.00 – 100.00) / 100.00] × 25% = 0.00%
|
|
[(40.00 – 100.00) / 100.00] × 25% = -15.00%
|
|
-20.00% + -15.00% + 0.00% + --15.00% = -50.00%
|
|
Final basket value
|
=
|
100 × (1 + (-50%)), which equals 50
|
|
|
|
|
|
Basket performance factor
|
=
|
50 / 100, which equals 50%
|
|
|
|
|
|
Trigger Level
|
=
|
80
|
Because the final basket value is less than the trigger level,
in this example, the payment at maturity per $10 stated principal amount security will equal $10
times
the basket performance
factor or:
($10 × 50%) = $5.00
The payment at maturity per $10 stated principal amount
security will be $5.00, which is less than the stated principal amount by an amount that is proportionate to the percentage decline
in the basket.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
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 pay interest or 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 pay interest or guarantee the payment of any principal amount at maturity.
If the final basket value is less than the trigger level (which is 80% of the initial basket value), the absolute return feature
will no longer be available and the payment at maturity will be an amount in cash that is over 20% less than the stated principal
amount of each securities, and this decrease will be by an amount that is proportionate to the decrease in the value of the basket
and may be zero. There is no minimum payment at maturity on the securities, and, accordingly, you could lose your entire initial
investment in the securities.
|
|
|
§
|
Your ability to receive the upside payment may terminate on the
valuation date.
If the final basket value is less than the initial basket value, you
will not be entitled to receive the upside payment at maturity. Under these circumstances, you may lose some or all of your
principal amount at maturity.
|
|
|
§
|
Your maximum downside gain on the securities is limited by the trigger
level.
If the final basket value is less than the initial basket value and greater than or equal to the trigger level,
you will receive at maturity $10
plus
a return equal to the absolute basket return, which will reflect a 1% positive return
for each 1% negative return on the basket, subject to an effective limit of 20%. Because you will not receive a positive
return if the basket has depreciated below the trigger level, your maximum downside payment will be $12.00 per $10.00 stated principal
amount security.
|
|
|
§
|
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.
|
|
|
§
|
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 will determine the final basket value and will calculate the amount of payment you will receive at maturity,
if any.
Determinations made by the calculation agent,
including with respect to the occurrence or non-occurrence of market disruption events, the selection of a successor to any underlying
index or calculation of the final index value of any underlying index in the event of a discontinuation or material change in method
of calculation of that underlying index, may affect the payment to you at maturity.
|
In addition,
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
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
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 benefit provided by the trigger level may terminate on the valuation
date.
If the final basket value is less than the trigger level, the benefit provided by the
trigger level will terminate and you will be fully exposed to any depreciation of the basket.
|
|
|
§
|
Correlation (or lack of correlation) of performances among the underlying
indices may reduce the performance of the basket, and changes in the values of the underlying indices may offset each other
.
The securities are linked to an equally weighted basket consisting of the underlying indices. Movements and performances of the
underlying indices may or may not be correlated with each other. At a time when the value of one or more of the underlying indices
increases, the values of the other underlying indices may not increase as much or may decline. Therefore, in calculating the final
basket value, increases in the value of one or more of the underlying indices may be moderated, or more than offset, by the lesser
increases or declines in the values of the other underlying indices. High correlation of movements in the values of the underlying
indices during periods of negative returns could have an adverse effect on your return on your investment. There can be no assurance
that the final basket value will be greater than the initial basket value.
|
|
|
§
|
The estimated value of the securities will be 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 will exceed the estimated
value of the securities because costs associated with selling, structuring and hedging the securities are included in the original
issue price of the securities. These costs include the selling commissions, the structuring fee, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated
cost of hedging our obligations under the securities. See “Additional Information about the Securities — The estimated
value of the securities” in this document.
|
|
|
§
|
The estimated value of the securities does not represent future
values of the securities and may differ from others’ estimates. The estimated value of the securities is determined by reference
to internal pricing models of our affiliates.
This estimated value of the securities is based
on market conditions and other relevant factors existing at the time of pricing and assumptions about market parameters, which
can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide
valuations for the securities that are greater than or less than the estimated value of the securities. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the securities could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase
& Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
which JPMS would be willing to buy securities from you in secondary market transactions. See “Additional Information about
the Securities — The estimated value of the securities” in this document.
|
|
|
§
|
The estimated value of the securities is derived by reference to
an internal funding rate.
The internal funding rate used in the determination of the estimated
value of the securities is based on, among other things, our and our affiliates’ view of the funding value of the securities
as well as the higher issuance, operational and ongoing liability management costs of the securities
in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co
.
The use of an internal funding rate and any potential changes to that rate may have an adverse effect 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
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk 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 levels of the underlying indices, 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 of the underlying indices and the basket;
|
|
|
o
|
the time to maturity of the securities;
|
|
|
o
|
the dividend rates on the equity securities included in the underlying indices;
|
|
|
o
|
the actual and expected positive or negative correlation among the underlying indices, or the actual and 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 underlying indices trade and the correlation among those rates and the values of the underlying
indices; and
|
|
|
o
|
a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the securities, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing
to purchase your securities in the secondary market.
|
|
§
|
Investing in the securities is not equivalent to investing in the
basket or the underlying indices.
Investing in the securities is not equivalent to investing
in the basket, the underlying indices or their 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 the stocks that constitute any underlying index.
|
|
|
§
|
Adjustments to any underlying index could adversely affect the value
of the securities.
The publisher for 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 any discontinued underlying index and is not precluded from considering indices
that are calculated and published by the calculation agent or any of its affiliates.
|
|
|
§
|
The securities are subject to risks associated with securities issued by non-U.S. companies.
The
equity securities included in each of the underlying indices 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
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
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.
|
|
§
|
The securities are subject to risks associated with emerging markets with respect to the HSCEI Index and the TAMSCI Index.
The equity securities included in the HSCEI Index and the TAMSCI Index have been issued by non-U.S. companies located in emerging
markets countries.
Countries with emerging markets may have relatively unstable governments,
may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation
of assets, and may have less protection of property rights than more developed countries. The economies of countries with emerging
markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may
suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities
and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult
or impossible at times.
|
|
|
§
|
The securities are not directly exposed to fluctuations in foreign exchange rates with respect to the HSCEI Index and the
KOSPI2 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 HSCEI Index and the KOSPI2 Index are based, although any currency
fluctuations could affect the performance of these underlying indices. Therefore, if the applicable currencies appreciate or depreciate
relative to the U.S. dollar over the term of the securities, you will not receive any additional payment or incur any reduction
in any payment on the securities.
|
|
|
§
|
The securities are subject to currency exchange risk with respect to the TAMSCI Index
and the SIMSCI Index.
Because the prices of the equity securities included in the TAMSCI Index and the SIMSCI Index are converted
into U.S. dollars for the purposes of calculating the values of these underlying indices, holders of the securities will be exposed
to currency exchange rate risk with respect to the currencies in which securities included in the TAMSCI Index and the SIMSCI Index
are traded. Your net exposure will depend on the extent to which the currencies in which securities included in the TAMSCI Index
and the SIMSCI Index are traded strengthen or weaken against the U.S. dollar. If the U.S. dollar strengthens against the currencies
in which securities included in the TAMSCI Index or the SIMSCI Index are traded, the value of the TAMSCI Index or the SIMSCI Index,
as applicable, will be adversely affected and the amount we pay you at maturity may be reduced. Of particular importance to potential
currency exchange risk are:
|
|
|
o
|
existing and expected rates of inflation;
|
|
|
o
|
existing and expected interest rate levels;
|
|
|
o
|
the balance of payments in the countries issuing those currencies and the United States and between each country and its major
trading partners;
|
|
|
o
|
political, civil or military unrest in the countries issuing those currencies and the United States; and
|
|
|
o
|
the extent of government surpluses or deficits in the countries issuing those currencies and the United States.
|
All
of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries issuing
those currencies and the United States and other countries important to international trade and finance.
|
|
§
|
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 adversely affect the values of the underlying indices and, as a result, could decrease the amount an investor
may receive on the securities at maturity, if any. Any of these hedging or trading activities
on or prior to the pricing
date could potentially affect the initial index value of an underlying index and, therefore, could potentially increase the value
that the final index value of an underlying index must reach before you receive a
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
payment at maturity that exceeds
the issue price of the securities or so that you do not suffer a loss on your initial investment in the securities. Additionally,
these hedging or trading activities during the term of the
securities
,
including on the valuation date, could adversely affect the final basket value and, accordingly, the amount of cash an investor
will receive at maturity, if any. 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 final terms and valuation of the securities will be provided in the pricing supplement.
The final terms of the securities will be provided in the pricing supplement. In particular, each of the estimated
value of the securities and the upside payment will be provided in the pricing supplement and each may be as low as the applicable
minimum set forth on the cover of this document. Accordingly, you should consider your potential investment in the securities
based on the minimums for the estimated value of the securities and the upside payment.
|
|
|
§
|
The 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 characterization 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 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 differ materially and adversely from
our description herein. 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; the relevance of factors such as
the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose a notional interest charge. 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
and adversely 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.
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
Basket Overview
The basket is an equally weighted basket composed
of four indices.
Underlying indices
The Hang Seng China Enterprises Index.
The Hang Seng China
Enterprises Index is a free-float adjusted market capitalization weighted stock market index and measures the performance of certain
H-share companies that have their primary listing on the main board of the Stock Exchange of Hong Kong. H-shares are Hong
Kong-listed shares, traded in Hong Kong dollars, of a company incorporated in the Chinese mainland. The Hang Seng China Enterprises
Index includes 40 constituent stocks. For additional information on the Hang Seng China Enterprises Index, see Annex A in the this
pricing supplement.
The KOSPI 200 Index
. The KOSPI 200 Index is a free-float
adjusted market capitalization-weighted index of 200 common stocks listed on the KOSPI Market, a benchmark stock market of Korea.
The constituent stocks are selected on the basis of such criteria as market capitalization, industry representation and trading
value. For additional information about the KOSPI 200 Index, see Annex B in the this pricing supplement.
The MSCI Taiwan Index.
The MSCI Taiwan Index is a free-float
adjusted market capitalization index that is designed to measure the large- and mid-cap segments of the Taiwanese equity market.
For additional information about the MSCI Taiwan Index, see “Equity Index Descriptions — The MSCI Indices” in
the accompanying underlying supplement.
The MSCI Singapore Free Index.
The MSCI Singapore Free
Index is a free-float adjusted market capitalization index that is designed to measure the large- and mid-cap segments of the Singaporean
equity market and uses “foreign” prices instead of local prices when available. For additional information about the
MSCI Singapore Free Index, see “Equity Index Descriptions — The MSCI Indices” in the accompanying underlying
supplement, as supplemented by the following sentence. For purposes of the accompanying underlying supplement, all references to
the MSCI Singapore Index is deemed to refer to the MSCI Singapore Free Index.
|
Underlying
index information as of September 19, 2017
|
|
|
Bloomberg
Ticker Symbol
|
Current
Value
|
52
Weeks Ago
|
52
Week High
|
52
Week Low
|
Basket
weighting
|
|
The
Hang Seng China Enterprises Index
|
HSCEI
|
11,173.51
|
9,747.75
(on 9/19/2016)
|
11,374.46
(on 8/30/2017)
|
9,181.75
(on 12/23/2016)
|
25%
|
|
The
KOSPI 200 Index
|
KOSPI2
|
318.51
|
253.93
(on 9/19/2016)
|
322.01
(on 7/24/2017)
|
249.20
(on 11/15/2016)
|
25%
|
|
The
MSCI Taiwan Index
|
TAMSCI
|
395.69
|
342.33
(on 9/19/2016)
|
399.59
(on 8/8/2017)
|
334.51
(on 11/15/2016)
|
25%
|
|
The
MSCI Singapore Free Index
|
SIMSCI
|
358.04
|
312.77
(on 9/19/2016)
|
375.22
(on 7/27/2017)
|
306.39
(on 11/4/2016)
|
25%
|
The following graph is calculated to show the performance of the basket during the period from January 3, 2012 through September
19, 2017, assuming the underlying indices are weighted as set out above such that the initial basket value was 100 on January 3,
2012 and illustrates the effect of the offset and/or correlation among the underlying indices during that period. The graph does
not take into account the upside payment or absolute basket return on the securities, nor does it attempt to show your expected
return on an investment in the securities. You cannot predict the future performance of any underlying index or of the basket as
a whole, or whether increases in the value of any underlying index will be offset by decreases in the values of the other underlying
indices. The historical value performance of the basket and the degree of correlation between the value trends of the underlying
indices (or lack thereof) should not be taken as an indication of its future performance.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
Historical Basket Performance
January 3, 2012 through
September 19, 2017
|
|
The following graphs set forth the official
daily values for each of the underlying indices for the period from January 3, 2012 (with respect to the HSCEI Index) or January
2, 2012 (with respect to the KOSPI2 Index, the TAMSCI Index and the SIMSCI Index) through September 19, 2017. The related tables
set forth the published high and low, as well as end-of-quarter, closing levels for each respective underlying index for each quarter
in the same period. We obtained the closing level information above and the information in the tables and graphs from the Bloomberg
Professional
®
service (“Bloomberg”), without independent verification. The historical values and historical
performance of the underlying indices should not be taken as an indication of future performance, and no assurance can be given
as to the closing levels of the underlying indices and basket closing value on the valuation date. There can be no assurance that
the basket will appreciate over the term of the securities so that you do not suffer a loss on your initial investment in the securities.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
Historical Performance
of the Hang Seng China Enterprises Index
January 3, 2012 through
September 19, 2017
|
|
|
|
License Agreement.
An affiliate of JPMorgan Chase &
Co. expects to enter into an agreement with Hang Seng Indexes Company Limited providing it and certain of its affiliates or subsidiaries
with a non-exclusive license and, for a fee, with the right to use the Hang Seng China Enterprises Index, which is owned and published
by Hang Seng Indexes Company Limited. For more information, see “Licensing Agreement” in Annex A in this pricing
supplement.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
Hang Seng China Enterprises Index
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
11,826.76
|
9,987.33
|
10,640.16
|
|
Second Quarter
|
11,145.96
|
9,336.38
|
9,574.84
|
|
Third Quarter
|
9,962.17
|
9,020.34
|
9,831.62
|
|
Fourth Quarter
|
11,436.16
|
9,828.22
|
11,436.16
|
|
2013
|
|
|
|
|
First Quarter
|
12,215.03
|
10,740.05
|
10,896.22
|
|
Second Quarter
|
11,347.41
|
8,871.28
|
9,311.44
|
|
Third Quarter
|
10,769.54
|
8,900.25
|
10,316.12
|
|
Fourth Quarter
|
11,548.07
|
10,177.82
|
10,816.14
|
|
2014
|
|
|
|
|
First Quarter
|
10,709.34
|
9,203.07
|
10,075.10
|
|
Second Quarter
|
10,522.13
|
9,655.56
|
10,335.03
|
|
Third Quarter
|
11,408.67
|
10,310.40
|
10,310.40
|
|
Fourth Quarter
|
12,019.75
|
10,185.55
|
11,984.69
|
|
2015
|
|
|
|
|
First Quarter
|
12,346.09
|
11,417.34
|
12,346.09
|
|
Second Quarter
|
14,801.94
|
12,537.28
|
12,981.23
|
|
Third Quarter
|
12,784.65
|
9,103.22
|
9,405.50
|
|
Fourth Quarter
|
10,747.68
|
9,308.00
|
9,661.03
|
|
2016
|
|
|
|
|
First Quarter
|
9,311.18
|
7,505.37
|
9,003.25
|
|
Second Quarter
|
9,248.40
|
8,243.20
|
8,712.89
|
|
Third Quarter
|
10,057.97
|
8,503.14
|
9,581.93
|
|
Fourth Quarter
|
9,947.10
|
9,181.75
|
9,394.87
|
|
2017
|
|
|
|
|
First Quarter
|
10,644.15
|
9,440.99
|
10,273.67
|
|
Second Quarter
|
10,666.43
|
9,926.26
|
10,365.22
|
|
Third Quarter (through September 19, 2017)
|
11,374.46
|
10,214.58
|
11,173.51
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
Historical Performance of the KOSPI 200 Index
January 2, 2012 to September 19, 2017
|
License Agreement.
An affiliate of JPMorgan Chase &
Co. expects to enter into a non-exclusive license agreement with Korea Exchange or its successor related to licensing matters providing
for the license to us, and certain of our affiliated or subsidiary companies, of the right to use the KOSPI 200 Index, which is
owned and published by Korea Exchange, in connection with certain securities, including the securities. For more information,
see “Licensing Agreement” in Annex B in this pricing supplement.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
KOSPI 200 Index
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
270.71
|
238.02
|
266.58
|
|
Second Quarter
|
272.46
|
235.85
|
244.90
|
|
Third Quarter
|
265.02
|
233.49
|
262.49
|
|
Fourth Quarter
|
265.79
|
243.45
|
263.92
|
|
2013
|
|
|
|
|
First Quarter
|
269.16
|
254.00
|
263.39
|
|
Second Quarter
|
262.27
|
231.52
|
242.27
|
|
Third Quarter
|
263.86
|
235.12
|
260.91
|
|
Fourth Quarter
|
271.44
|
257.90
|
264.24
|
|
2014
|
|
|
|
|
First Quarter
|
258.41
|
245.30
|
258.11
|
|
Second Quarter
|
263.42
|
252.35
|
260.56
|
|
Third Quarter
|
271.17
|
256.72
|
256.77
|
|
Fourth Quarter
|
254.24
|
239.84
|
244.05
|
|
2015
|
|
|
|
|
First Quarter
|
259.16
|
239.93
|
257.28
|
|
Second Quarter
|
272.59
|
248.49
|
252.27
|
|
Third Quarter
|
255.50
|
221.53
|
236.71
|
|
Fourth Quarter
|
252.33
|
237.15
|
240.38
|
|
2016
|
|
|
|
|
First Quarter
|
246.54
|
223.81
|
245.86
|
|
Second Quarter
|
250.19
|
237.65
|
244.14
|
|
Third Quarter
|
260.93
|
241.86
|
257.49
|
|
Fourth Quarter
|
262.59
|
249.20
|
260.01
|
|
2017
|
|
|
|
|
First Quarter
|
283.84
|
260.36
|
280.64
|
|
Second Quarter
|
312.56
|
275.49
|
311.76
|
|
Third Quarter (through September 19, 2017)
|
322.01
|
302.72
|
318.51
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
Historical
Performance of the MSCI Taiwan Index
January 2, 2012 through
September 19, 2017
|
|
License Agreement.
JPMorgan Chase & Co.
or its affiliate has entered into an agreement with MSCI Inc. providing it and certain of its affiliates or subsidiaries, including
JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the MSCI Taiwan Index, which is owned and
published by MSCI Inc., in connection with certain securities, including the securities. For more information, see “Equity
Index Descriptions — The MSCI Indices — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
MSCI Taiwan Index
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
289.06
|
250.00
|
283.74
|
|
Second Quarter
|
281.12
|
245.27
|
259.98
|
|
Third Quarter
|
277.18
|
245.68
|
275.00
|
|
Fourth Quarter
|
280.99
|
255.13
|
276.64
|
|
2013
|
|
|
|
|
First Quarter
|
289.98
|
273.59
|
284.28
|
|
Second Quarter
|
302.84
|
272.58
|
289.37
|
|
Third Quarter
|
294.78
|
274.63
|
287.84
|
|
Fourth Quarter
|
303.37
|
284.54
|
302.66
|
|
2014
|
|
|
|
|
First Quarter
|
312.66
|
288.24
|
312.66
|
|
Second Quarter
|
337.36
|
313.43
|
337.36
|
|
Third Quarter
|
348.17
|
324.83
|
324.83
|
|
Fourth Quarter
|
343.54
|
313.60
|
343.17
|
|
2015
|
|
|
|
|
First Quarter
|
362.09
|
331.83
|
353.20
|
|
Second Quarter
|
370.01
|
343.32
|
348.99
|
|
Third Quarter
|
350.92
|
277.16
|
302.52
|
|
Fourth Quarter
|
328.12
|
295.82
|
305.49
|
|
2016
|
|
|
|
|
First Quarter
|
324.32
|
278.00
|
322.42
|
|
Second Quarter
|
323.94
|
293.64
|
321.62
|
|
Third Quarter
|
347.75
|
317.69
|
342.15
|
|
Fourth Quarter
|
353.72
|
334.51
|
344.19
|
|
2017
|
|
|
|
|
First Quarter
|
369.57
|
345.36
|
362.21
|
|
Second Quarter
|
397.10
|
357.58
|
391.74
|
|
Third Quarter (through September 19, 2017)
|
399.59
|
386.52
|
395.69
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
Historical Performance
of the MSCI Singapore Free Index
January 2, 2012 through
September 19, 2017
|
|
License Agreement.
JPMorgan Chase & Co.
or its affiliate has entered into an agreement with MSCI Inc. providing it and certain of its affiliates or subsidiaries, including
JPMorgan Financial, with a non-exclusive license and, for a fee, with the right to use the MSCI Singapore Free Index, which is
owned and published by MSCI Inc., in connection with certain securities, including the securities. For more information, see “Equity
Index Descriptions — The MSCI Indices — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
MSCI Singapore Free Index
|
High
|
Low
|
Period End
|
|
2012
|
|
|
|
|
First Quarter
|
350.43
|
301.77
|
348.40
|
|
Second Quarter
|
348.16
|
309.34
|
332.14
|
|
Third Quarter
|
355.29
|
335.39
|
351.40
|
|
Fourth Quarter
|
361.33
|
332.38
|
359.30
|
|
2013
|
|
|
|
|
First Quarter
|
375.72
|
359.30
|
375.07
|
|
Second Quarter
|
390.13
|
343.55
|
354.14
|
|
Third Quarter
|
373.25
|
342.96
|
361.62
|
|
Fourth Quarter
|
372.47
|
351.84
|
364.79
|
|
2014
|
|
|
|
|
First Quarter
|
364.79
|
337.88
|
359.40
|
|
Second Quarter
|
375.83
|
360.01
|
370.85
|
|
Third Quarter
|
386.08
|
368.97
|
370.16
|
|
Fourth Quarter
|
381.03
|
355.52
|
380.73
|
|
2015
|
|
|
|
|
First Quarter
|
387.38
|
370.04
|
385.83
|
|
Second Quarter
|
398.52
|
368.81
|
373.00
|
|
Third Quarter
|
378.65
|
311.33
|
312.33
|
|
Fourth Quarter
|
345.81
|
311.41
|
322.70
|
|
2016
|
|
|
|
|
First Quarter
|
328.33
|
283.69
|
321.05
|
|
Second Quarter
|
334.20
|
303.17
|
317.08
|
|
Third Quarter
|
326.58
|
308.05
|
315.17
|
|
Fourth Quarter
|
331.37
|
306.39
|
320.21
|
|
2017
|
|
|
|
|
First Quarter
|
351.19
|
320.21
|
350.58
|
|
Second Quarter
|
362.93
|
344.25
|
358.96
|
|
Third Quarter (through September 19, 2017)
|
375.22
|
356.59
|
358.04
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
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:
|
|
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 valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and it 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 the valuation date as postponed.
|
|
Minimum ticketing size:
|
$1,000 / 100 securities
|
|
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 will be 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
will be 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 two years and one-half of the stated term of the securities. The length of any such initial period reflects the structure of the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.”
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
Tax considerations:
|
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-1-I. The following discussion, when read
in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding
the material U.S. federal income tax consequences of owning and disposing of the securities.
Based on current market conditions, in the opinion of our special
tax counsel, your securities should be treated as “open transactions” that are not debt instruments for U.S. federal
income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to
U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement.
Assuming this treatment is respected, the gain or loss on your securities should be treated as long-term capital gain or loss if
you hold your securities for more than a year, whether or not you are an initial purchaser of securities at the issue price. However,
the IRS or a court may not respect this treatment of the securities, in which case the timing and character of any income or loss
on the securities could be materially and adversely 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;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. 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 and adversely 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.
Withholding under legislation commonly referred to as “FATCA”
may (if the securities are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the securities,
as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a securities. However,
under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as interest)
with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential application
of FATCA to the securities.
|
|
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”
in this document for an illustration of the risk-return profile of the securities and “Basket 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 securities.
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.
We expect that delivery of the securities will be made against
payment for the securities on or about the original issue date set forth on the front cover of this document, which will be the
third business day following the pricing date of the securities (this settlement cycle being referred to as “T+3”).
Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to
settle in two business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade
securities on any date prior to two business days before delivery will be required to specify an alternate settlement cycle at
the time of any such trade to prevent a
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
|
|
failed settlement and should consult their own advisors.
|
|
Contact:
|
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).
|
Where you can find more information:
|
You may revoke your offer to purchase the securities at any time
prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of,
or reject any offer to purchase, the securities prior to their issuance. In the event of any changes to the terms of the securities,
we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject
such changes in which case we may reject your offer to purchase.
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.
“Performance Leveraged Upside Securities
SM
”
and “PLUS
SM
” are service marks of Morgan Stanley.
|
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
Annex A
The Hang
Seng China Enterprises Index
All information contained in this pricing supplement
regarding the Hang Seng China Enterprises Index, including, without limitation, its make-up, method of calculation and changes
in its components, has been derived from publicly available information, without independent verification. This information reflects
the policies of, and is subject to change by, Hang Seng Indexes Company Limited (“HSICL”), a wholly owned subsidiary
of Hang Seng Bank. The Hang Seng China Enterprises Index is calculated, maintained and published by HSICL. HSICL has no obligation
to continue to publish, and may discontinue publication of, the Hang Seng China Enterprises Index.
The Hang Seng China Enterprises Index is reported
by Bloomberg L.P. under the ticker symbol “HSCEI.”
The Hang Seng China Enterprises Index was first
calculated and published on August 8, 1994, one year after the first H-share company was listed on the Stock Exchange of Hong Kong
(“HKEx”). H-shares are Hong Kong-listed shares, traded in Hong Kong dollars, of a company incorporated in the Chinese
mainland. The Hang Seng China Enterprises Index is a free-float adjusted market capitalization weighted stock market index and
measures the performance of certain H-share companies that have their primary listing on the main board of the HKEx. The Hang Seng
China Enterprises Index includes 40 constituent stocks. The Hang Seng China Enterprises Index is calculated and disseminated real-time
every 2 seconds during the trading hours on each trading day of HKEx, based on the calendar of the HKEx.
Index Composition
Defining the Eligible Stocks
Only H-share companies with a primary listing
on the main board of HKEx are eligible to be included in the Hang Seng China Enterprises Index. Stocks that are secondary listings,
preference shares, debt securities, mutual funds and other derivatives are excluded. In addition, to be eligible for selection
in the Hang Seng China Enterprises Index, a stock: (1) should be listed for at least one month, starting from the listing date
to the review cut-off date (both dates inclusive); and (2) must satisfy the turnover requirements. To be added to the Hang Seng
China Enterprises Index, a stock must have a turnover velocity of at least 0.1% for at least 10 out of the past 12 months and for
each of the most recent three months. Turnover velocity is calculated by dividing the median of the daily traded shares during
a specific calendar month by the free float-adjusted issued shares at the end of that month. Stocks that are already included in
the Hang Seng China Enterprises Index must have a turnover velocity of at least 0.1% for at least 10 out of the past 12 months.
If a constituent fails to meet the turnover requirement as mentioned above, a supplementary turnover test will be applied for those
months in which velocity is less than 0.1%:
|
|
·
|
calculate the monthly aggregate turnover of the constituent; and
|
|
|
·
|
if the monthly aggregate turnover is among the top 90th percentile
of the total market, the constituent passes the monthly turnover test for that month.
|
The constituent will be regarded as meeting
the turnover requirement if the turnover requirement is fulfilled after applying the supplementary turnover test above. Total market
includes securities primarily listed on the Main Board of the HKEx, excluding securities that are secondary listings, foreign companies,
preference shares, debt securities, mutual funds and other derivatives.
For a stock with a trading history of less
than 12 months or a stock that has transferred from Growth Enterprise Market (“GEM”) to the Main Board in the past
12 months before the data review cut-off date, the following requirements replace those above.
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|
Trading Record
|
Measurements
|
|
< 6 months
|
1) attain a minimum velocity of 0.1% for all
trading months
|
|
≥ 6 months
|
1) cannot have more than one month in which
stock has failed to attain a velocity of at least 0.1%; and
2) for the latest three months, stock needs
to have attained 0.1% for all trading months if it is not an existing constituent.
|
Stocks transferred from GEM to the Main Board
will be treated as new issues. For existing constituents, the supplementary turnover test as described above also applies.
For a stock which has been suspended for any
complete month(s) during the past 12 months before the review cut-off date, the relevant month(s) will be excluded from the velocity
calculation. The stock should meet the requirements as described above.
Selecting the Index Companies
The Hang Seng China Enterprises Index is reviewed
quarterly with data cut-off dates as of the end of March, June, September and December each year. From the eligible stocks, final
selections are made using the following methodology:
|
|
(1)
|
all eligible stocks are ranked by (i) full market capitalization, in terms of average month-end market capitalization in the
past 12 months (or for stocks with a listing of less than 12 months, in terms of the average month-end market capitalization since
listing) and (ii) free float-adjusted market capitalization, in terms of 12-month average market capitalization after free float
adjustment;
|
|
|
(2)
|
the combined market capitalization ranking for each eligible stock is determined as the weighted average of the full market
capitalization ranking and the free float-adjusted market capitalization ranking, where each rank has a 50% weight; and
|
|
|
(3)
|
the 40 stocks that have the highest combined market capitalization ranking are selected as the constituents of Hang Seng China
Enterprises Index, subject to the buffer zone rule as described below.
|
Constituents failing to meet the turnover requirements
as described above will be removed from the Hang Seng China Enterprises Index.
Buffer Zone and Effective Date
Existing constituents ranked 49th or lower
will be removed from the Hang Seng China Enterprises Index while non-constituent stocks ranked 32nd or above will be included.
In case the number of incoming stocks is greater than the number of outgoing constituents, constituents with the lowest combined
market capitalization rank will be removed from the Hang Seng China Enterprises Index in order to maintain the number of constituents
at 40. If the number of incoming stocks is smaller than the number of outgoing constituents, stocks with the highest combined market
capitalization rank will be added to the Hang Seng China Enterprises Index in order to maintain the number of constituents at 40.
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Effective dates of constituent changes will be the next trading
day after the first Friday of March, June, September and December. If that Friday falls on a public holiday, it will be postponed
to the next Friday, subject to the final decision made by HSICL. Under normal circumstances, at least seven trading days’
notice will be given for any constituent changes before the effective dates.
Trading Suspension
Whether to remove a suspended constituent from the Hang Seng
China Enterprises Index and replace it with an appropriate candidate will be determined in the regular index review. Should a suspended
constituent be removed from the Hang Seng China Enterprises Index, its last traded price may be adjusted down to the system lowest
price,
i.e.
, HK$0.0001 in the security’s price currency, or an official residual price (if available) for index calculation
on the trading day preceding the effective date of the constituent changes.
High Shareholding Concentration
Companies that are the subject of a Securities and Futures Commission
High Shareholding Concentration notice will not be eligible for inclusion in the Hang Seng China Enterprises Index.
Index Calculation
The calculation methodology of the Hang Seng
China Enterprises Index is a free float-adjusted market capitalization weighting methodology with a 10% cap on individual stocks.
The Hang Seng China Enterprises Index is a price index without adjustment for cash dividends or warrant bonuses.
The formula for the index calculation is shown
below:
|
Current Index
|
=
|
Current Aggregate Free float-adjusted Market Capitalization of Constituents
|
×
|
Yesterday’s
Closing Index
|
|
Yesterday’s Aggregate Free float-adjusted Market Capitalization of Constituents
|
|
|
=
|
S
(P
t
x IS x FAF x CF)
|
×
|
Yesterday’s
Closing Index
|
|
S
(P
t-1
x IS x FAF x CF)
|
where:
|
|
P
t
|
: current price at day t;
|
|
|
P
t-1
|
: closing price at day t-1;
|
|
|
IS
|
: number of issued shares (in the case of H-share constituents, only the H-share portion is taken into calculation);
|
|
|
FAF
|
: free float-adjusted factor, which is between 0 and 1; and
|
|
|
CF
|
: capping factor, which is between 0 and 1.
|
Free-float Adjustments.
Shares held
by any entities (excluding custodians, trustees, mutual funds and investment companies) that control more than 5% of the shareholdings
would be considered as non-free float and are excluded from the index calculation. These include strategic holdings (holdings by
governments and affiliated entities or any other entities that hold substantial shares in the company would be considered as non-free
float unless otherwise proved), directors’ and management holdings (holdings by directors, members of the board committee,
principal officers or founding members), corporate cross holdings (holdings by publicly traded companies or private firms or institutions)
and lock-up shares (shareholdings with a publicly disclosed lock-up arrangement).
The free float-adjusted factor represents the
proportion of shares that is free-floated as a percentage of the issued shares. The free float-adjusted factor is rounded up to
the nearest 1% if it is less than 10%; otherwise, it
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is rounded to the nearest 5%. For companies
with more than one class of shares, the free float-adjusted factor is calculated separately for each class of shares.
Cap Factor.
A cap factor is calculated
quarterly, such that no individual constituent in an Index will have a weighting exceeding a cap level of 10% on the index capping
date. Since the excessive weight will be distributed among other uncapped constituents, it is possible that weightings of other
constituents will exceed the cap limit after downsizing the largest component. Therefore, the capping process will be repeated
until all constituents are confined to the weighting rule of the corresponding index.
Changes in constituent underlying data due
to corporate actions will be taken into account in the capping exercise if: (a) there is no uncertainty about the corporate action;
and the corporate action will take effect on or before the cap factor effective date.
Index Rebalancing.
The update of the issued shares, adjustment
of the free float-adjusted factor and calculation of the cap factor are undertaken quarterly. The regular rebalancing is usually
implemented after market close on the first Friday in March, June, September and December, and comes into effect on the next trading
day. In addition, the issued shares will be updated simultaneously with the index adjustment for corporate actions, such as bonus
issues, rights issues, stock splits and stock consolidations. Ad hoc rebalancing will be conducted if a constituent’s issued
shares and/or free float-adjusted factor is substantially different from the production data. The Hang Seng China Enterprises Index
will also be recapped in the event of constituent changes if the newly added component weighs higher than the index cap level.
Corporate Actions and Adjustments
In the event of corporate actions, the Hang
Seng China Enterprises Index will be adjusted in order to maintain continuity. A minimum notice period of two trading days prior
to the implementation will be given to index users for any index changes resulted from corporate actions. The below table lists
out our general practices for handling different corporate actions.
|
|
Event
|
Description
|
Adjustment
|
|
|
|
|
Issued
Shares (“IS”)
|
Closing Price
(“P”)
|
Divisor
(“D”)
|
|
(a)
|
Subdivision of Shares/ Split
|
X existing share(s) to be subdivided into Y subdivided share(s)
|
IS
adjusted
= IS
before
* Y / X
|
P
adjusted
= P
before
* X / Y
|
↔
|
|
(b)
|
Consolidation/ Reverse Split
|
X existing shares to be consolidated into Y consolidated share(s)
|
IS
adjusted
= IS
before
* Y / X
|
P
adjusted
= P
before
* X / Y
|
↔
|
|
(c)
|
Cash Dividend/ Distribution
|
Dividend/ distribution in cash
|
No adjustment will be made to the price index.
Instead, the cash dividend or distribution will be reflected in the total return index counterpart as reinvestment on the ex-date.
Note:
(i)
Besides
normal cash dividends, the following types of dividends are also considered as cash dividend equivalents
-
Cash
dividends with scrip option;
-
Scrip
dividends with cash option; and
|
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|
|
|
|
-
Scrip
dividends with a preannounced cash value.
(ii) If new shares allotted
from bonus, rights issues, etc. have a dividend disadvantage (i.e. the new shares receive a different dividend amount from that
paid on the old shares), the dividend amount used in the index calculation will also be adjusted accordingly.
(iii) For late dividend (a dividend that is known
only after the ex-date), no adjustment will be made to the price index. Instead, the cash dividend or distribution will be reflected
in the total return index counterpart as reinvestment on the payment date.
|
|
(d)
|
Bonus/ Stock Dividend
|
X bonus share(s) for holding of every Y existing share(s)
|
IS
adjusted
= IS
before
* (X + Y) / Y
|
P
adjusted
= P
before
* Y / (X+Y)
|
↔
|
|
(e)
|
Listed non-cash Distribution
|
Dividend/ Distribution in specie of X share(s) in Company A for holding of every Y existing share(s) of Company B
|
↔
|
P
adjusted
= P
before
– (P
distribution
* X / Y)
|
↓
|
|
(f)
|
To-be-listed non-cash Distribution
|
X share(s)/ unit(s) of the distribution for holding of every Y existing shares
|
The price of the constituent will be suspended
on the ex-date.
An estimated market value (based on the price
drop of the constituent on the ex-date) will be added to the price index on the trading day after ex-date until the trading day
before listing of the distributed instrument.
The distributed instrument will be added to the
price index on its listing date and removed after market close. HSICL will have the discretion to defer the removal of the distributed
instrument from the Hang Seng China Enterprises Index if the distribution is material.
Note:
To-be-listed non-cash distributions
include stock dividend of another company, bonus warrant, etc.
|
|
(g)
|
Preferential Offer
|
Preferential offer of X share(s) in another unlisted company for holding of every Y share(s) at $Z per share
|
To avoid stock price estimation of any unlisted company, no adjustment will be made for preferential offer.
|
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(h)
|
Rights Issue/ Open Offer
|
X rights/ offer share(s) for holding of every Y existing share(s) at subscription price of $Z per rights/ offer share
|
IS
adjusted
= IS
before
* (X +
Y) / Y
|
P
adjusted
= [(P
before
* Y) + (X * Z)] / (X + Y)
|
↑
|
|
Note:
Adjustment will not be made if Z is greater than
the cum-rights closing price, unless the rights issue/ open offer is being fully underwritten.
|
|
(i)
|
Open Offer of Unlisted Securities
|
Open Offer of X share(s) of unlisted securities for holding of every Y share(s) at $Z per share
|
To avoid price estimation of any unlisted securities,
no adjustment will be made for the open offer.
Note:
If price cannot be evaluated objectively, no adjustment
will be made. However, if the unlisted securities is priced at an obvious discounted level, HSICL will analyze it on a case by
case basis and reverse the right to make final decision.
|
|
(j)
|
Spin-off/ Demerger
|
Creation of a company through the sale or distribution of new shares of an existing business/ division of a parent company. A spin-off is a type of divestiture.
|
For index adjustment of listed and to-be-listed non-cash
distributions, please see above.
The newly spun-off/ detached entity will be considered
inclusion into the index family according to regular schedule.
|
|
(k)
|
Merger and Acquisition
|
The combination of two or more constituents into one, through a mutual agreement or a tender offer.
|
The enlarged company will remain in the Hang Seng
China Enterprises Index with a potential adjustment in its issued shares and weighting factors, subject to the terms of the transaction.
Example:
Merger between China Unicom and
China Netcom in Oct 2008.
|
|
(l)
|
Withdrawal of Listing
|
Delisting of a company. It might be resulted from privatization, takeover or other corporate actions.
|
The company in concern will be removed from the Hang Seng China Enterprises Index as soon as practicable.
|
|
(m)
|
Parallel Trading
|
Trading in a company’s shares under both a temporary stock code and the original stock code. Usually applied to securities which have undergone corporate actions such as consolidation, subdivision, change in board lot size or reorganization involving share exchange other than on a one-to-one basis.
|
The company in concern will be included in the
Hang Seng China Enterprises Index using the temporary stock code during the period where the original stock code is not available.
Example:
Temporary stock code change of
Li & Fung (from 0494.HK to 2909.HK) during 19 May to 1 June 2011 after its share subdivision.
|
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License Agreement
An affiliate of JPMorgan Chase & Co. expects
to enter into an agreement with Hang Seng Indexes Company Limited providing it and certain of its affiliates or subsidiaries with
a non-exclusive license and, for a fee, with the right to use the Hang Seng China Enterprises Index, which is owned and published
by Hang Seng Indexes Company Limited.
THE HANG SENG CHINA ENTERPRISES INDEX (THE
“INDEX”) IS PUBLISHED AND COMPILED BY HANG SENG INDEXES COMPANY LIMITED PURSUANT TO A LICENSE FROM HANG SENG DATA SERVICES
LIMITED. THE MARK AND NAME OF THE HANG SENG CHINA ENTERPRISES INDEX ARE PROPRIETARY TO HANG SENG DATA SERVICES LIMITED. HANG SENG
INDEXES COMPANY LIMITED AND HANG SENG DATA SERVICES LIMITED HAVE AGREED TO THE USE OF, AND REFERENCE TO, THE HANG SENG CHINA ENTERPRISES
INDEX BY
JPMORGAN CHASE & CO. OR ITS AFFILIATES
, IN CONNECTION WITH THE SECURITIES
(THE “PRODUCT”), BUT NEITHER HANG SENG INDEXES COMPANY LIMITED NOR HANG SENG DATA SERVICES LIMITED WARRANTS OR REPRESENTS
OR GUARANTEES TO ANY BROKER OR HOLDER OF THE PRODUCT OR ANY OTHER PERSON (I) THE ACCURACY OR COMPLETENESS OF THE INDEX AND ITS
COMPUTATION OR ANY INFORMATION RELATED THERETO; OR (II) THE FITNESS OR SUITABILITY FOR ANY PURPOSE OF THE INDEX OR ANY COMPONENT
OR DATA COMPRISED IN IT; OR (III) THE RESULTS WHICH MAY BE OBTAINED BY ANY PERSON FROM THE USE OF THE INDEX OR ANY COMPONENT OR
DATA COMPRISED IN IT FOR ANY PURPOSE, AND NO WARRANTY OR REPRESENTATION OR GUARANTEE OF ANY KIND WHATSOEVER RELATING TO THE INDEX
IS GIVEN OR MAY BE IMPLIED. THE PROCESS AND BASIS OF COMPUTATION AND COMPILATION OF THE INDEX AND ANY OF THE RELATED FORMULA OR
FORMULAE, CONSTITUENT STOCKS AND FACTORS MAY AT ANY TIME BE CHANGED OR ALTERED BY HANG SENG INDEXES COMPANY LIMITED WITHOUT NOTICE.
TO THE EXTENT PERMITTED BY APPLICABLE LAW, NO RESPONSIBILITY OR LIABILITY IS ACCEPTED BY HANG SENG INDEXES COMPANY LIMITED OR HANG
SENG DATA SERVICES LIMITED (I) IN RESPECT OF THE USE OF AND/OR REFERENCE TO THE INDEX BY JPMORGAN CHASE & CO. OR ITS AFFILIATES
IN CONNECTION WITH THE PRODUCT; OR (II) FOR ANY INACCURACIES, OMISSIONS, MISTAKES OR ERRORS OF HANG SENG INDEXES COMPANY LIMITED
IN THE COMPUTATION OF THE INDEX; OR (III) FOR ANY INACCURACIES, OMISSIONS, MISTAKES, ERRORS OR INCOMPLETENESS OF ANY INFORMATION
USED IN CONNECTION WITH THE COMPUTATION OF THE INDEX WHICH IS SUPPLIED BY ANY OTHER PERSON; OR (IV) FOR ANY ECONOMIC OR OTHER LOSS
WHICH MAY BE DIRECTLY OR INDIRECTLY SUSTAINED BY ANY BROKER OR HOLDER OF THE PRODUCT OR ANY OTHER PERSON DEALING WITH THE PRODUCT
AS A RESULT OF ANY OF THE AFORESAID, AN NO CLAIMS, ACTIONS OR LEGAL PROCEEDINGS MAY BE BROUGHT AGAINST HANG SENG INDEXES COMPANY
LIMITED AND/OR HANG SENG DATA SERVICES LIMITED IN CONNECTION WITH THE PRODUCT IN ANY MANNER WHATSOEVER BY ANY BROKER, HOLDER OR
OTHER PERSON DEALING WITH THE PRODUCT. ANY BROKER, HOLDER OR OTHER PERSON DEALING WITH THE PRODUCT DOES SO THEREFORE IN FULL KNOWLEDGE
OF THIS DISCLAIMER AND CAN PLACE NO RELIANCE WHATSOEVER ON HANG SENG INDEXES COMPANY LIMITED AND HANG SENG DATA SERVICES LIMITED.
FOR THE AVOIDANCE OF DOUBT, THIS DISCLAIMER DOES NOT CREATE ANY CONTRACTUAL OR QUASI-CONTRACTUAL RELATIONSHIP BETWEEN ANY BROKER,
HOLDER OR OTHER PERSON AND HANG SENG INDEXES COMPANY LIMITED AND/OR HANG SENG DATA SERVICES LIMITED AND MUST NOT BE CONSTRUED TO
HAVE CREATED SUCH RELATIONSHIP.
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Annex B
The KOSPI
200
All
information contained in this pricing supplement regarding the KOSPI 200 Index, including, without limitation, its make-up, method
of calculation and changes in its components, has been derived from publicly available information, without independent verification.
This information reflects the policies of, and is subject to change by, Korea Exchange (“KRX”). The KOSPI 200 Index
is calculated, maintained and published by KRX. KRX has no obligation to continue to publish, and may discontinue publication
of, the KOSPI 200 Index.
The
KOSPI 200 Index is reported by Bloomberg L.P. under the ticker symbol “KOSPI2.”
The
KOSPI 200 Index is a free-float adjusted market capitalization-weighted index of 200 common stocks listed on the KOSPI Market,
a benchmark stock market of Korea. The constituent stocks are selected on the basis of such criteria as market capitalization,
industry representation and trading value.
The
KOSPI 200 Index is calculated using a free-float adjusted market capitalization weighted methodology. The KOSPI 200 Index has
a base date of January 3, 1990 with a base index level of 100.
Composition of the KOSPI 200 Index
Selection
Criteria
The
index universe consists of all domestic common stocks listed on the KOSPI Market, excluding the equity securities listed below:
|
|
·
|
administrative issues and issues scheduled to be delisted;
|
|
|
·
|
real estate investment companies, ship investment companies and investment
& financing companies;
|
|
|
·
|
new issues listed on the KOSPI Market for less than 1 year, excluding
the cases listed below:
|
|
|
·
|
a new issue moving from the KOSDAQ Market whose listing period combined
with its listing on the KOSDAQ Market is more than 1 year;
|
|
|
·
|
a newly included issue in the KOSPI 200 Index before the last business
day of April by the special entry rule for a spin-off described below;
|
|
|
·
|
a newly included issue in the KOSPI 200 Index before the last business
day of April by the fast entry rule for a new listing described below.
|
|
|
·
|
an issue whose free-float rate is under 10%
|
The
stocks in the index universe are classified into the following eight industry sectors: (i) energy, (ii) materials, (iii) industrials,
(iv) customer discretionary, (v) customer staples, (vi) healthcare, (vii) financials & real estate, (viii) information technology
& telecommunication services and (ix) utilities.
The
selection process is devised to maximize the market capitalization coverage of the KOSPI 200 Index to the KOSPI Market. The minimum
target market capitalization coverage is approximately 80% of the KOSPI Market. The base date of the constituent selection process
is the last trading day of April.
New
constituents are selected in a 3-step process:
|
|
1.
|
Size Screen: Issues in each sector are sorted by 1 year averaged market capitalization and shortlisted as sector constituents
until the cumulative sum of their market capitalization exceeds 80% of the sector’s total market capitalization.
|
|
|
2.
|
Liquidity Screen: An issue on the shortlist is examined whether it satisfies the liquidity requirement or not. If the 1 year
averaged trading value of the issue is less than the lower 15 percentile of 1 year averaged trading values of all issues in the
sector, then the issue is delisted from the shortlist. Instead, an unselected issue satisfying the liquidity condition is chosen
to the shortlist in order of market capitalization.
|
|
|
3.
|
Buffer rules: For the sake of managing the turnover ratio of the index constituents at an appropriate level, buffer rules are
applied to the selection process of each sector in an order listed below:
|
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|
a.
|
An issue that is an existing constituent remains as a constituent if the issue satisfies the liquidity condition and its market
capitalization rank is less than or equal to 110% of the number of the existing constituents in the sector.
|
|
|
b.
|
An issue that is not an existing constituent is designated as a new constituent if the issue is a member of the shortlist and
its market capitalization rank is less than or equal to 90% of the number of the existing constituents in the sector.
|
|
|
c.
|
If the number of the selected issues is more or less than 200 after applying both of two buffer rules stated above, KRX adds
or excludes issues up to 200 by the method stated below:
|
|
|
i.
|
less than 200 issues: issues are added in descending order of market capitalization among unselected issues on the shortlist
which meet the liquidity requirement irrespective of sector classification.
|
|
|
ii.
|
more than 200 issues: issues are excluded in ascending order of market capitalization among selected issues unless the number
of constituents of each sector is less than 90% of current constituents of each sector.
|
If
an issue whose rank of the last 15 trading days’ market capitalization as of the base date is higher than or equal to 50th
in the whole KOSPI Market is not selected in the previous process, the issue will be chosen as a new constituent and the lowest
market capitalization issue will be disqualified accordingly.
KRX
selects 10 issues for each sector in order of market capitalization among the unselected issues as reserved issues. If any constituent
happens to be excluded due to corporate events, the empty slot will be occupied by a reserved issue.
Maintenance
KRX
reviews the KOSPI 200 Index annually in May. The stocks in the index universe are reviewed once a year to ensure that adequate
market capitalization and liquidity are maintained. An index committee, consisting of independent professionals in the financial
industry and academia, reviews the index constituents. The list is announced in early June and the effective date of the rebalancing
is the trading day after the last trading day of the KOPSI 200 Index futures with the earliest expiration date. The dataset for
the review is derived from May in the previous year to April in the current year.
A
constituent is deleted from the KOSPI 200 Index when it is delisted from the KOSPI Market, designated as an administrative issue,
or merged with another issue. Otherwise, KRX can remove constituents from the KOSPI 200 Index if it is considered to be ineligible
for the index constituents. At the same time, a reserved issue in the corresponding sector is added to the KOSPI 200 Index.
The
original company in the KOSPI 200 Index will be excluded on the trading day after the last trading day of the KOPSI 200 Index
futures with the earliest expiration date which arrives first after resuming trade, if its market capitalization is lower than
the lowest market capitalization issue in the KOSPI 200 Index. If the market capitalization rank of the spun-off company is within
top 80% in the KOSPI 200 Index constituents by full market capitalization, the spun-off company will be included on its first
trading day after listing.
If
a new issue whose rank of 15 trading days’ market capitalization from its listing date is higher than or equal to 50th in
the whole KOSPI Market, the issue is chosen as a new constituent and the lowest market capitalization issue is excluded. The related
rebalancing is conducted on the trading day after the last trading day of the KOPSI 200 Index futures with the earliest expiration
date which arrives first 15 days after the issue’s listing date; the expiration dates are the second Thursdays in March,
June, September, and December.
License
Agreement
An
affiliate of JPMorgan Chase & Co. expects to enter into a non-exclusive license agreement with KRX or its successor relating
to licensing matters providing for the license to us, and certain of our affiliated or subsidiary companies, of the right to use
the KOSPI 200 Index, which is owned and published by KRX, in connection with certain securities, including the securities. The
license agreement between KRX and JPMorgan Chase & Co. is expected to provide that the following language must be set forth
in this pricing supplement:
The
securities are not sponsored, endorsed, sold or promoted by KRX, the successor of the Korea Stock Exchange who calculates the
KOSPI 200 Index and owns the intellectual property rights over it. KRX makes no representation or warranty, express or implied,
to the owners of the securities or any member of the public regarding the advisability of investing in securities generally or
in the securities particularly or the ability of the
JPMorgan Chase Financial Company LLC
Dual Directional Trigger Jump Based on the
Performance of an Equally-Weighted Basket of Four Indices
due September 27, 2022
Principal at Risk Securities
KOSPI 200 Index to track general stock market performance. KRX’s only
relationship to JPMorgan Chase & Co. is the licensing of certain trademarks and trade names of KRX and of the KOSPI 200 Index
which is determined, composed and calculated by KRX without regard to JPMorgan Chase & Co. or the securities. KRX has no obligation
to take the needs of JPMorgan Chase & Co. or the owners of the securities into consideration in determining, composing or
calculating the KOSPI 200 Index. KRX is not responsible for and has not participated in the determination of the prices and amount
of the securities or the timing of the issuance or sale of the securities or in the determination or calculation of the equation
by which the securities is to be converted into cash. KRX has no obligation or liability in connection with the administration,
marketing or trading of the securities.
KRX DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF
THE KOSPI 200 INDEX OR ANY DATA INCLUDED THEREIN AND KRX SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
KRX MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY JPMORGAN CHASE & CO., OWNERS OF THE SECURITIES,
OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE KOSPI 200 INDEX OR ANY DATA INCLUDED THEREIN. KRX MAKES NO EXPRESS OR IMPLIED
WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO
THE KOSPI 200 INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL KRX HAVE ANY LIABILITY
FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF
SUCH DAMAGES.
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