Key Terms
|
Issuer:
|
JPMorgan
Chase Financial Company LLC
|
|
Guarantor:
|
JPMorgan Chase
& Co.
|
|
Index:
|
The S&P 500
®
Index (Bloomberg Ticker: SPX)
|
|
Contingent Interest Payments:
|
If the notes have not been automatically called and
(1) with respect to any Review Date (other than the final Review Date), the closing level of the Index on that Review Date or
(2) with respect to the final Review Date, the Ending Index Level is greater than or equal to the Interest Barrier, you will receive
on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at least
$20.00.
If the closing level of the Index or Ending Index
Level, as applicable, on any Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect
to that Review Date.
|
|
Interest Barrier / Trigger Level:
|
An amount that represents 85.80% of the Initial Index Level
|
|
Automatic Call:
|
If with respect to any Review Date (other than the final Review Date) the closing level of the Index is
greater than or equal to
the Initial Index Level, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date.
|
|
Payment at Maturity:
|
If the notes have not been automatically called and a Trigger Event has
not
occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date.
|
|
If the notes have not been automatically called and
a Trigger Event
has
occurred, at maturity you will lose 1.1655% of the principal amount of your notes for every
1% that the Ending Index Level is less than the Initial Index Level by more than the Buffer Amount. Under these circumstances,
your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 × (Index
Return + 14.20%) × 1.16550]
|
|
If the notes have not been automatically called and a Trigger Event has occurred, you will lose some or all of the principal amount of your notes at maturity.
|
|
Trigger Event:
|
A Trigger Event occurs if the Ending Index Level (
i.e.,
the arithmetic average of the closing levels of the Index on the Ending Averaging Dates) is less than the Trigger Level.
|
|
Buffer Amount:
|
14.20%
|
|
Downside Leverage Factor:
|
1.16550
|
|
Pricing Date:
|
On or about June 27, 2016
|
|
Original Issue Date (Settlement Date):
|
On or about June 30, 2016
|
|
Review Dates
†
:
|
October 13, 2016, January 12, 2017, April 13, 2017 and July 14, 2017 (final Review Date)
|
|
Ending Averaging Dates
†:
|
July 10, 2017, July 11, 2017, July 12, 2017, July 13, 2017 and the final Review Date
|
|
Interest Payment Dates
†
:
|
October 18, 2016, January 18, 2017, April 19, 2017 and the Maturity Date
|
|
Call Settlement Date
†
:
|
If the notes are automatically called on any Review Date (other than the final Review Date), the first Interest Payment Date immediately following that Review Date
|
|
Maturity Date
†
:
|
July 19, 2017
|
|
CUSIP:
|
46646EKS0
|
|
Other Key Terms:
|
See “Additional Key Terms” in this pricing supplement
|
|
|
†
|
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 a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
Investing in the notes 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 “Selected Risk Considerations” beginning on page PS-5 of this pricing
supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
|
Per note
|
$1,000
|
$
|
$
|
|
Total
|
$
|
$
|
$
|
|
|
(1)
|
See
“Supplemental Use of Proceeds” in this pricing supplement for information
about the components of the price to public of the notes.
|
|
|
(2)
|
J.P.
Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial,
will pay all of the selling commissions it receives from us to other affiliated or unaffiliated
dealers. In no event will these selling commissions exceed $10.00 per $1,000 principal
amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement.
|
If the notes priced today,
the estimated value of the notes would be approximately $985.30 per $1,000 principal amount note. The estimated value of the notes,
when the terms of the notes are set, will be provided in the pricing supplement and will not be less than $970.30 per $1,000 principal
amount note.
See “The Estimated Value of the Notes” in this pricing
supplement for additional information.
The notes 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.
Additional Terms Specific to the
Notes
You may revoke your offer to purchase the notes 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 notes prior to their issuance. In the event of any changes to the terms of the notes, 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 pricing supplement together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes, of which these
notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying
supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes 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, 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 notes 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 notes.
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)
:
|
|
·
|
Underlying supplement no. 1-I dated April 15, 2016:
|
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_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 pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial.
Additional Key Terms
|
Index Return:
|
(Ending Index Level – Initial Index Level)
Initial Index Level
|
|
Initial Index Level:
|
The closing level of the Index on the Pricing Date
|
|
Ending Index Level:
|
The arithmetic average of the closing levels of the Index on the Ending Averaging Dates
|
|
JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the S&P 500
®
Index
|
PS-
1
|
What Are the Payments on the
Notes, Assuming a Range of Performances for the Index?
If the notes have not been automatically called
and (1) with respect to any Review Date (other than the final Review Date), the closing level of the Index or (2) with respect
to the final Review Date, the Ending Index Level is greater than or equal to the Interest Barrier, you will receive on the applicable
Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to at least $20.00. The actual
Contingent Interest Payment will be provided in the pricing supplement and will not be less than $20.00 per $1,000 principal amount
note. If (1) with respect to any Review Date (other than the final Review Date), the closing level of the Index or (2) with respect
to the final Review Date, the Ending Index Level is less than the Interest Barrier, no Contingent Interest Payment will be made
with respect to that Review Date. We refer to the Interest Payment Date immediately following any Review Date on which the closing
level of the Index or Ending Index Level, as applicable, is less than the Interest Barrier as a “No-Coupon Date.” The
following table assumes a Contingent Interest Payment of $20.00 per $1,000 principal amount note and illustrates the hypothetical
total Contingent Interest Payments per $1,000 principal amount note over the term of the notes depending on how many No-Coupon
Dates occur.
|
Number of
No-Coupon Dates
|
Total Contingent Coupon Payments
|
|
0 No-Coupon Dates
|
$80.00
|
|
1
No-Coupon Date
|
$60.00
|
|
2
No-Coupon Dates
|
$40.00
|
|
3
No-Coupon Dates
|
$20.00
|
|
4
No-Coupon Dates
|
$0.00
|
The following table illustrates the hypothetical
payments on the notes in different hypothetical scenarios. Each hypothetical payment set forth below assumes an Initial Index Level
of 2,000 and an Interest Barrier and a Trigger Level of 1,716 (equal to 85.80% of the hypothetical Initial Index Level), a Contingent
Interest Payment of $20.00 and reflects the Buffer Amount of 14.20% and the Downside Leverage Factor of 1.16550. The actual Contingent
Interest Payment will be provided in the pricing supplement and will not be less than $20.00 per $1,000 principal amount note.
Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
|
Review Dates Prior to the Final Review Date
|
Final Review Date
|
|
Closing Level of the Index
|
Appreciation / Depreciation of the Index at Review Date
|
Payment on Interest Payment Date or Call Settlement Date (1)(2)
|
Ending Index Level
|
Appreciation / Depreciation of the Index at Final Review Date
|
Payment at Maturity If a Trigger Event Has Not Occurred (2)(3)
|
Payment at Maturity If a Trigger Event Has Occurred (3)
|
|
3,600.00
|
80.00%
|
$1,020.00
|
3,600.00
|
80.00%
|
$1,020.00
|
N/A
|
|
3,400.00
|
70.00%
|
$1,020.00
|
3,400.00
|
70.00%
|
$1,020.00
|
N/A
|
|
3,200.00
|
60.00%
|
$1,020.00
|
3,200.00
|
60.00%
|
$1,020.00
|
N/A
|
|
3,000.00
|
50.00%
|
$1,020.00
|
3,000.00
|
50.00%
|
$1,020.00
|
N/A
|
|
2,800.00
|
40.00%
|
$1,020.00
|
2,800.00
|
40.00%
|
$1,020.00
|
N/A
|
|
2,600.00
|
30.00%
|
$1,020.00
|
2,600.00
|
30.00%
|
$1,020.00
|
N/A
|
|
2,400.00
|
20.00%
|
$1,020.00
|
2,400.00
|
20.00%
|
$1,020.00
|
N/A
|
|
2,300.00
|
15.00%
|
$1,020.00
|
2,300.00
|
15.00%
|
$1,020.00
|
N/A
|
|
2,200.00
|
10.00%
|
$1,020.00
|
2,200.00
|
10.00%
|
$1,020.00
|
N/A
|
|
2,100.00
|
5.00%
|
$1,020.00
|
2,100.00
|
5.00%
|
$1,020.00
|
N/A
|
|
2,000.00
|
0.00%
|
$1,020.00
|
2,000.00
|
0.00%
|
$1,020.00
|
N/A
|
|
1,900.00
|
-5.00%
|
$20.00
|
1,900.00
|
-5.00%
|
$1,020.00
|
N/A
|
|
1,800.00
|
-10.00%
|
$20.00
|
1,800.00
|
-10.00%
|
$1,020.00
|
N/A
|
|
1,716.00
|
-14.20%
|
$20.00
|
1,716.00
|
-14.20%
|
$1,020.00
|
N/A
|
|
1,600.00
|
-20.00%
|
N/A
|
1,600.00
|
-20.00%
|
N/A
|
$932.401
|
|
1,400.00
|
-30.00%
|
N/A
|
1,400.00
|
-30.00%
|
N/A
|
$815.851
|
|
1,200.00
|
-40.00%
|
N/A
|
1,200.00
|
-40.00%
|
N/A
|
$699.301
|
|
1,000.00
|
-50.00%
|
N/A
|
1,000.00
|
-50.00%
|
N/A
|
$582.751
|
|
800.00
|
-60.00%
|
N/A
|
800.00
|
-60.00%
|
N/A
|
$466.201
|
|
600.00
|
-70.00%
|
N/A
|
600.00
|
-70.00%
|
N/A
|
$349.651
|
|
400.00
|
-80.00%
|
N/A
|
400.00
|
-80.00%
|
N/A
|
$233.101
|
|
200.00
|
-90.00%
|
N/A
|
200.00
|
-90.00%
|
N/A
|
$116.551
|
|
0.00
|
-100.00%
|
N/A
|
0.00
|
-100.00%
|
N/A
|
$0.000
|
|
|
(1)
|
The notes will be automatically called if the closing level of the Index on any Review Date (other than the final Review Date)
is greater than or equal to the Initial Index Level.
|
|
|
(2)
|
You will receive a Contingent Interest Payment in connection with a Review Date if (1) with respect to any Review Date (other
than the final Review Date), the closing level of the Index or (2) with respect to the final Review Date, the Ending Index Level
is greater than or equal to the Interest Barrier.
|
|
|
(3)
|
A Trigger Event occurs if the Ending Index Level (
i.e.,
the arithmetic average of the closing levels of the Index on
the Ending Averaging Dates) is less than the Trigger Level.
|
|
JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the S&P 500
®
Index
|
PS-
2
|
Hypothetical Examples of Amounts
Payable on the Notes
The following examples illustrate how payments on
the notes in different hypothetical scenarios are calculated.
Example
1: The closing level of the Index increases from the Initial Index Level of 2,000 to a closing level of 2,400 on the first Review
Date.
Because the closing level of the Index on the first Review Date is greater than the Interest Barrier, the investor is
entitled to receive a Contingent Interest Payment in connection with the first Review Date. In addition, because the closing level
of the Index on the first Review Date is greater than the Initial Index Level, the notes are automatically called. Accordingly,
the investor receives a payment of $1,020 per $1,000 principal amount note on the relevant Call Settlement Date, consisting of
a Contingent Interest Payment of $20 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal
amount note.
Example 2: Contingent Interest Payments are paid
in connection with one of the Review Dates preceding the third Review Date, the closing level of the Index is less than the Initial
Index Level of 2,000 on each of the Review Dates preceding the third Review Date and the closing level of the Index increases
from the Initial Index Level of 2,000 to a closing level of 2,400 on the third Review Date.
The investor receives a payment
of $20 per $1,000 principal amount note in connection with one of the Review Dates preceding the third Review Date, but the notes
are not automatically called on any of the Review Dates preceding the third Review Date because the closing level of the Index
is less than the Initial Index Level on each of the Review Dates preceding the third Review Date. Because the closing level of
the Index on the third Review Date is greater than the Interest Barrier, the investor is entitled to receive a Contingent Interest
Payment in connection with the third Review Date. In addition, because the closing level of the Index on the third Review Date
is greater than the Initial Index Level, the notes are automatically called. Accordingly, the investor receives a payment of $1,020
per $1,000 principal amount note on the relevant Call Settlement Date, consisting of a Contingent Interest Payment of $20 per
$1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. As a result, the total
amount paid on the notes over the term of the notes is $1,040 per $1,000 principal amount note.
Example 3: The notes are not automatically called
prior to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review
Date and the closing level of the Index increases from the Initial Index Level of 2,000 to an Ending Index Level of 2,400 —
A Trigger Event has not occurred.
The investor receives a payment of $20 per $1,000 principal amount note in connection with
each of the Review Dates preceding the final Review Date. Because the notes are not automatically called prior to maturity, a
Trigger Event has not occurred and the Ending Index Level is greater than the Interest Barrier, the investor receives at maturity
a payment of $1,020 per $1,000 principal amount note. This payment consists of a Contingent Interest Payment of $20 per $1,000
principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total amount paid on the
notes over the term of the notes is $1,080 per $1,000 principal amount note.
This represents the maximum total payment an
investor may receive over the term of the notes.
Example 4: The notes are not automatically called
prior to maturity, Contingent Interest Payments are paid in connection with two of the Review Dates preceding the final Review
Date and the closing level of the Index decreases from the Initial Index Level of 2,000 to an Ending Index Level of 1,716 —
A Trigger Event has not occurred.
The investor receives a payment of $20 per $1,000 principal amount note in connection with
two of the Review Dates preceding the final Review Date. Because the notes are not automatically called prior to maturity, a Trigger
Event has not occurred and the Ending Index Level is equal to the Interest Barrier, even though the Ending Index Level is less
than the Initial Index Level, the investor receives at maturity a payment of $1,020 per $1,000 principal amount note. This total
value reflects a Contingent Interest Payment of $20 per $1,000 principal amount note and repayment of the principal equal to $1,000
per $1,000 principal amount note. The total amount paid on the notes over the term of the notes is $1,060 per $1,000 principal
amount note.
Example 5: The notes are not automatically called
prior to maturity, Contingent Interest Payments are paid in connection with each of the Review Dates preceding the final Review
Date and the closing level of the Index decreases from the Initial Index Level of 2,000 to an Ending Index Level of 800 —
A Trigger Event has occurred.
The investor receives a payment of $20 per $1,000 principal amount note in connection with each
of the Review Dates preceding the final Review Date. Because the notes are not automatically called prior to maturity, a Trigger
Event has occurred and the Ending Index Level is less than the Interest Barrier, the investor receives at maturity of $466.201
per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-60%
+ 14.20%) × 1.16550] = $466.201
The total value of the payments on the notes over the
term of the notes is $526.201 per $1,000 principal amount note.
Example 6: The notes are not automatically called
prior to maturity, no Contingent Interest Payments are paid in connection with the Review Dates preceding the final Review Date
and the closing level of the Index decreases from the Initial Index Level of 2,000 to a Ending Index Level of 600 — A Trigger
Event has occurred.
Because the notes are not automatically called prior to maturity, no Contingent Interest Payments are
paid in connection with the Review Dates preceding the final Review Date, a Trigger Event has occurred and the Ending Index Level
is less than the Interest Barrier, the investor receives no payments over the term of the notes, other than a payment at maturity
of $349.651 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-70%
+ 14.20%) × 1.16550] = $349.651
The hypothetical payments on the notes shown above
apply
only if you hold the notes for their entire term or until automatically called.
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 payments shown above would likely be lower.
|
JPMorgan Structured Investments —
Auto Callable Contingent Interest Notes Linked to the S&P 500
®
Index
|
PS-
3
|
Selected Purchase Considerations
|
|
·
|
CONTINGENT INTEREST PAYMENTS
— The notes
offer the potential to earn a Contingent Interest Payment in connection with each Review Date of at least $20.00* per $1,000 principal
amount note. If the notes have not been automatically called and (1) with respect to any Review Date (other than the final Review
Date), the closing level of the Index or (2) with respect to the final Review Date, the Ending Index Level is greater than or equal
to the Interest Barrier, you will receive a Contingent Interest Payment on the applicable Interest Payment Date. If (1) with respect
to any Review Date (other than the final Review Date), the closing level of the Index or (2) with respect to the final Review Date,
the Ending Index Level is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review
Date. If payable, a Contingent Interest Payment will be made to the holders of record at the close of business on the business
day immediately preceding the applicable Interest Payment Date.
Because
the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan
Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan
Chase & Co.’s ability to pay its obligations as they become due.
|
*The actual Contingent Interest
Payment will be provided in the pricing supplement and will not be less than $20.00 per $1,000 principal amount note.
|
|
·
|
POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE
— If the closing level of the Index on any Review Date (other than the final Review Date) is greater than or equal to the
Initial Index Level, your notes will be automatically called prior to the Maturity Date. Under these circumstances, you will receive
a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment applicable
to that Review Date, payable on the applicable Call Settlement Date.
|
|
|
·
|
THE NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES
HAVE NOT BEEN AUTOMATICALLY CALLED
— If the notes have not been automatically called, we will pay you your principal
back at maturity only if a Trigger Event has not occurred.
However, if the notes have not been automatically called and a Trigger
Event has occurred, you will lose some or all of the principal amount of your notes at maturity.
|
|
|
·
|
RETURN LINKED TO THE S&P 500
®
INDEX
—
The S&P 500
®
Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S.
equity markets. For additional information about the S&P 500
®
Index, see the information set forth under “Equity
Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
|
|
|
·
|
TAX TREATMENT —
You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. In determining
our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward contracts
with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section entitled
“Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid
Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement. Based on the advice of Davis
Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable
treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the notes could be
materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to
require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number
of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such
as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative
treatments and the issues presented by this notice.
|
Non-U.S. Holders — Tax
Considerations
. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and although we believe
it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least if an
applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%,
subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your notes is effectively
connected with your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable
to a permanent establishment in the United States). If you are not a United States person, you are urged to consult your tax adviser
regarding the U.S. federal income tax consequences of an investment in the notes in light of your particular circumstances.
Non-U.S. holders should also note
that recently promulgated Treasury regulations imposing a withholding tax on certain “dividend equivalents” under
certain “equity linked instruments” will not apply to the notes.
FATCA.
Withholding
under legislation commonly referred to as “FATCA” could apply to payments with respect to the notes that are treated
as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income
tax purposes (such as interest, if the notes are recharacterized, in whole or in part, as debt instruments, or Contingent Interest
Payments if they are otherwise treated as FDAP Income). Under a recent IRS notice, withholding under FATCA will not apply
to payments of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including an early redemption
or redemption at maturity, of the notes. You should consult your tax adviser regarding the potential application of FATCA
to the notes.
In the event of any withholding on
the notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
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Selected Risk
Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Index or any of the equity securities included in
the Index. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and the accompanying underlying supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT
IN A LOSS
— The notes do not guarantee any return of principal. If the notes have not been automatically called and a
Trigger Event has occurred, you will lose 1.1655% of your principal amount at maturity for every 1% that the Ending Index Level
is less than the Initial Index Level by more than the Buffer Amount of 14.20%.
Accordingly, under these circumstances, you will
lose some or all of the principal amount of your notes at maturity.
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THE NOTES DO NOT GUARANTEE THE PAYMENT
OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
The terms of the notes differ from those of conventional debt securities
in that, among other things, whether we pay interest is linked to the performance of the Index. Contingent Interest Payments should
not be viewed as periodic interest payments. If the notes have not been automatically called, we will make a Contingent Interest
Payment if (1) with respect to any Review Date (other than the final Review Date), the closing level of the Index or (2) with respect
to the final Review Date, the Ending Index Level is greater than or equal to the Interest Barrier. If (1) with respect to any Review
Date (other than the final Review Date), the closing level of the Index or (2) with respect to the final Review Date, the Ending
Index Level is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date, and
the Contingent Interest Payment that would otherwise have been payable with respect to that Review Date will not be accrued and
subsequently paid. Accordingly, if (1) with respect to any Review Date (other than the final Review Date), the closing level of
the Index or (2) with respect to the final Review Date, the Ending Index Level is less than the Interest Barrier, you will not
receive any interest payments over the term of the notes.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN
CHASE & CO. —
The notes are subject
to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit
spreads may adversely affect the market value of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s
ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness
or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes.
If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under
the notes and you could lose your entire investment.
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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 notes. If these affiliates do not make payments to us and we
fail to make payments on the notes, 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.
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THE AUTOMATIC CALL FEATURE MAY FORCE
A POTENTIAL EARLY EXIT
— If the notes are automatically called, the amount of Contingent Interest Payments made on the
notes may be less than the amount of Contingent Interest Payments that might have been payable if the notes were held to maturity,
and, for each $1,000 principal amount note, you will receive on the applicable Call Settlement Date $1,000
plus
the Contingent
Interest Payment applicable to the relevant Review Date. Costs associated with selling, structuring and hedging the notes will
not be rebated to you if the notes are automatically called.
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REINVESTMENT RISK
— If your
notes are automatically called, the term of the notes may be reduced to as short as approximately three months and you will not
receive any Contingent Interest Payments after the applicable Call Settlement Date. There is no guarantee that you would be able
to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar
level of risk in the event the notes are automatically called prior to the Maturity Date.
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THE APPRECIATION POTENTIAL OF THE
NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION OF THE INDEX
— The appreciation potential of the notes
is limited to the sum of any Contingent Interest Payments that may be paid over the term of the notes, regardless of any appreciation
of the Index, which may be significant. You will not participate in any appreciation of the Index. Accordingly, the return on the
notes may be significantly less than the return on a direct investment in the Index during the term of the notes.
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POTENTIAL CONFLICTS
—
We and our affiliates play a variety
of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of
the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the
estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. 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 notes. 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 notes and the value of the notes. It is
possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial
returns for us or our affiliates while the value of the notes declines. Please refer to “Risk Factors — Risks Relating
to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.
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In addition, JPMorgan Chase & Co. is currently
one of the companies that make up the S&P 500
®
Index, but JPMorgan Chase & Co. will have no obligation
to consider your interests as a holder of the notes in taking any corporate action that might affect the value of the S&P
500
®
Index.
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THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER
THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES —
The
estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes
will exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging
our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT
FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES —
The
estimated value of the notes is determined by reference to internal pricing models of our affiliates when the terms of the notes
are set. This estimated value of the notes is based on market conditions and other relevant factors existing at that time 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 notes that are greater than or less than the estimated value of the notes. 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 notes 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 notes from you in secondary market transactions. See “The Estimated Value of the Notes”
in this pricing supplement.
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY
REFERENCE TO AN INTERNAL FUNDING RATE —
The
internal funding rate used in the determination of the estimated value of the notes is based on, among other things, our and our
affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management
costs of the notes 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 notes and any secondary
market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.
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THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED
ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to
you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our
internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in
this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes
during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer
account statements).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE
ORIGINAL ISSUE PRICE OF THE NOTES —
Any secondary market prices of the notes will likely be lower than the original issue
price of the notes 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 (b) may exclude
projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a
result, the price, if any, at which JPMS will be willing to buy notes 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 consideration for information about additional factors that will impact any secondary
market prices of the notes.
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The notes are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your notes to maturity. See “— Lack of Liquidity”
below.
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SECONDARY MARKET PRICES OF THE NOTES
WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
— The secondary market price of the notes 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,
projected hedging profits, if any, estimated hedging costs and the level of the Index, including:
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any actual or potential change in our
or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary bid-ask spreads for similarly
sized trades;
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our internal secondary market funding
rates for structured debt issuances;
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the actual and expected volatility of the Index;
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the time to maturity of the notes;
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whether the closing level of the Index
or Ending Index Level, as applicable, has been, or is expected to be, less than the Interest Barrier on any Review Date and whether
a Trigger Event is expected to occur;
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the likelihood of an automatic call being
triggered;
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the dividend rates on the equity securities
included in the Index;
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interest and yield rates in the market
generally; and
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a variety of other economic, financial,
political, regulatory and judicial events.
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Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your
notes in the secondary market.
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NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS
— As
a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends
or other distributions or other rights that holders of securities composing the Index would have.
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LACK OF LIQUIDITY
—
The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but
is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell
the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be
able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes.
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THE FINAL TERMS AND
VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT
— The final terms of the notes will be based on relevant
market conditions when the terms of the notes are set and will be provided in the pricing supplement. In particular, each of the
estimated value of the notes and the Contingent Interest 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 pricing supplement. Accordingly, you should consider your potential
investment in the notes based on the minimums for the estimated value of the notes and the Contingent Interest Payment.
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Historical Information Regarding
the Index
The following graph sets forth the historical
performance of the Index based on the weekly historical closing levels of the Index from January 7, 2011 through June 24, 2016.
The closing level of the Index on June 24, 2016 was 2,037.41. We obtained the closing levels above and below from the Bloomberg
Professional
®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on the
Pricing Date, any Ending Averaging Date or any Review Date, including the final Review Date. There can be no assurance that the
performance of the Index will result in the return of any of your principal amount at maturity.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover
of this pricing supplement 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 notes, valued using the internal funding rate described below, and (2) the derivative or
derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at
which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used
in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of
the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement. The value of the derivative or derivatives underlying the economic terms of the notes 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 notes is determined when the terms of the notes are set based on market conditions and other relevant factors and
assumptions existing at that time. See “Selected Risk Considerations — The Estimated Value of the Notes Does Not Represent
Future Values of the Notes and May Differ from Others’ Estimates” in this pricing supplement.
The estimated value of the notes will be lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. 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 notes. See “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue
Price (Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Selected Risk Considerations — Secondary Market Prices of the Notes
Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition, we generally expect that some
of the costs included in the original issue
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price of the notes will be partially paid back
to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined
period that is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period.”
Supplemental Use of Proceeds
The notes are offered to meet investor demand for
products that reflect the risk-return profile and market exposure provided by the notes. See “What Are the Payments on the
Notes, Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amounts Payable on the Notes”
in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations
— Return Linked to the S&P 500
®
Index” in this pricing supplement for a description of the market
exposure provided by the notes.
The original issue price of the notes is equal
to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus
(minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
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JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024
