Registration Statement Nos. 333-209682
and 333-209682-01
Opportunities in U.S. Equities
Contingent Income Callable Securities do not guarantee the payment
of interest or the repayment of principal. Instead, the securities offer the opportunity for investors to earn a contingent quarterly
payment equal to at least 2.25% of the stated principal amount with respect to each quarterly monitoring period during which the
basket closing value on each day is greater than or equal to 70% of the initial basket value, which we refer to as the downside
threshold level. However, if, on any day during a quarterly monitoring period, the basket closing value is less than the downside
threshold level, you will not receive any contingent quarterly payment for the related quarterly monitoring period. In addition,
we will have the right to redeem the securities at our discretion on any contingent payment date
(other than the final contingent
payment date) for an early redemption payment equal to the stated principal amount
plus
any contingent quarterly payment
otherwise due with respect to the related quarterly monitoring period. Any early redemption of the securities will be at our discretion
and will not automatically occur based on the performance of the basket. If the securities have not been redeemed prior to maturity
and the final basket value is greater than or equal to the downside threshold level, the payment at maturity due on the securities
will be the stated principal amount and, if the basket closing value on each day during the final quarterly monitoring period is
greater than or equal to the downside threshold level, a contingent quarterly payment with respect to the final quarterly monitoring
period. If, however, the securities have not been redeemed prior to maturity and the final basket value is less than the downside
threshold level, you will be exposed to the decline in the basket, as compared to the initial basket value, on a 1-to-1 basis and
will receive a cash payment at maturity that is less than 70% of the stated principal amount of the securities and could be zero.
The securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially
above-market rate in exchange for the risk of receiving few or no contingent quarterly payments and also the risk of receiving
a cash payment at maturity that is significantly less than the stated principal amount of the securities and could be zero.
Accordingly, investors could lose their entire initial investment in the securities
. Investors will not participate in any
appreciation 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.
|
SUMMARY
TERMS
|
|
|
Issuer:
|
JPMorgan Chase Financial Company LLC
|
|
Guarantor:
|
JPMorgan Chase & Co.
|
|
Basket:
|
Underlying stocks
|
Bloomberg ticker symbol
|
Basket weighting
|
|
|
Common stock of Bank of America Corporation
|
BAC
|
1/4
|
|
|
Common stock of Citigroup Inc.
|
C
|
1/4
|
|
|
Common stock of Capital One Financial Corporation
|
COF
|
1/4
|
|
|
Common stock of Regions Financial Corporation
|
RF
|
1/4
|
|
Aggregate
principal amount:
|
$
|
|
Optional
early redemption:
|
We,
at our discretion
, may redeem the securities early, in whole but not in part, on any of the contingent payment dates (other than the final contingent payment date) for the early redemption payment. If we intend to redeem your securities early, we will deliver notice to The Depository Trust Company, or DTC, at least three business days before the applicable contingent payment date. Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the basket. No further payments will be made on the securities after they have been redeemed.
|
|
Early
redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise due with respect to the related quarterly monitoring period.
|
|
Contingent
quarterly payment:
|
·
If the basket closing value is greater than or equal to the downside threshold level on each
day during a quarterly monitoring period, we will pay a contingent quarterly payment of at least $22.50 (at least 2.25% of the
stated principal amount) per security on the related contingent payment date. The actual contingent quarterly payment will be provided
in the pricing supplement.
·
If the basket closing value is less than the downside threshold level on
any
day during
a quarterly monitoring period, no contingent quarterly payment will be payable with respect to that quarterly monitoring period.
|
|
Contingent
payment dates:
|
With respect to each determination date other than the final determination date, the third business day after the related determination date. The payment of the contingent quarterly payment, if any, with respect to the final determination date will be made on the maturity date.
|
|
Payment
at maturity:
|
·
If the final basket value is
greater than or equal to
the downside threshold level:
|
(i) the stated principal amount
plus
(ii) if the basket closing value on each day during the final quarterly monitoring period is greater than or equal to the downside threshold level, the contingent quarterly payment with respect to the final quarterly monitoring period
|
|
|
·
If the final basket value is
less than
the downside threshold level:
|
(i) the stated principal amount
times
(ii) the basket performance factor. This cash payment will be less than 70% of the stated principal amount of the securities and could be zero.
|
|
Downside
threshold level:
|
70.00, which is equal to 70% of the initial basket value
|
|
Stock
adjustment factor:
|
With respect to each underlying stock, the stock adjustment factor is referenced in determining the closing price of the underlying stock and is set initially at 1.0 on the pricing date. The stock adjustment factor of each underlying stock is subject to adjustment in the event of certain corporate events affecting that underlying stock.
|
|
Stated
principal amount:
|
$1,000 per security
|
|
Issue
price:
|
$1,000 per security (see “Commissions and issue price” below)
|
|
Pricing
date:
|
July , 2016 (expected to price on or about July 29, 2016)
|
|
Original
issue date:
|
August , 2016 (3 business days after the pricing date)
(settlement date)
|
|
Maturity
date:
|
August 2, 2018, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
|
|
Terms continued on the following page
|
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
|
Commissions and issue price:
|
Price to public
(1)
|
Fees and commissions
|
Proceeds to issuer
|
|
Per security
|
|
$1,000.00
|
$15.00
(2)
|
$980.00
|
|
|
|
|
$5.00
(3)
|
|
|
Total
|
|
$
|
$
|
$
|
|
|
(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 $15.00 per
$1,000 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 $5.00 for each
$1,000 stated principal amount security
|
If the securities priced today and assuming a contingent
quarterly payment equal to the minimum listed above, the estimated value of the securities would be approximately $977.60 per $1,000
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 $950.00 per $1,000 stated principal amount security.
See “Additional Information about the
Securities — The estimated value of the securities” in this document for additional information.
Investing in the securities involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement and “Risk Factors” beginning
on page 8 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, 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, 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
Prospectus supplement and prospectus, each dated
April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
|
Terms continued from previous page:
|
|
Quarterly
monitoring period:
|
With respect to each contingent payment date, the period from but excluding the second immediately preceding determination date (or, in the case of the first determination date, from but excluding the pricing date) to and including the immediately preceding determination date
|
|
Basket
closing value:
|
The basket closing value will be calculated as follows:
100 × [1 + sum of (stock return of each underlying stock
× basket weighting of that underlying stock)]
|
|
Stock
return:
|
With respect to each underlying stock:
(
final stock price – initial
stock price)
initial stock price
|
|
Initial
basket value:
|
Set equal to 100 on the pricing date
|
|
Final
basket value:
|
The basket closing value on the final determination date
|
|
Initial
stock price:
|
With respect to each underlying stock, the closing price of that underlying stock on the pricing date
|
|
Final
stock price:
|
With respect to each underlying stock, the closing price of that underlying stock on the final determination date
|
|
Basket
performance factor:
|
final basket value / initial basket value
|
|
Determination
dates:
|
October 31, 2016, January 30, 2017, April 28, 2017, July 31, 2017, October 30, 2017, January 29, 2018, April 30, 2018 and July 30, 2018, subject to postponement for non-trading days and certain market disruption events
|
|
Contingent
payment dates:
|
With respect to each quarterly monitoring period other than the final quarterly monitoring period, the third business day after the related determination date on which the related quarterly monitoring period ends. The payment of the contingent quarterly payment, if any, with respect to the final quarterly monitoring period will be made on the maturity date.
|
|
CUSIP/ISIN:
|
46646EQV7 / US46646EQV73
|
|
Listing:
|
The securities will not be listed on any securities exchange.
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
Investment Summary
The Contingent Income Callable Securities due August 2,
2018 Based on the Performance of an Equally Weighted Basket of Four Underlying Stocks, which we refer to as the securities, do
not provide for the regular payment of interest. Instead, the securities provide an opportunity for investors to earn a contingent
quarterly payment, which is an amount equal to at least $22.50 (at least 2.25% of the stated principal amount) per security, with
respect to each quarterly monitoring period during which the basket closing value on each day is greater than or equal to 70% of
the initial basket value, which we refer to as a downside threshold level. The actual contingent quarterly payment will be provided
in the pricing supplement. The contingent quarterly payment, if any, will be payable quarterly on the relevant contingent payment
date, which is the third business day after the determination date on which the related quarterly monitoring period ends or, in
the case of the contingent quarterly payment, if any, with respect to the final quarterly monitoring period, the maturity date.
However, if the basket closing value is less than the downside threshold level on any day during a quarterly monitoring period,
investors will receive no contingent quarterly payment for that quarterly monitoring period.
We refer
to these payments as contingent, because there is no guarantee that you will receive a payment on any contingent payment date.
Even if the basket was at or above the downside threshold level on each day during some quarterly monitoring periods, the basket
may fluctuate below the downside threshold level on any day during the others.
In addition,
we will have the right to redeem the securities
at our discretion
on any contingent payment date (other than the final contingent payment date) for the early redemption payment
equal to the stated principal amount
plus
any contingent quarterly payment otherwise
due with respect to the related quarterly monitoring period. Any early redemption of the securities will be at our discretion and
will not automatically occur based on the performance of the basket.
If the securities have
not previously been redeemed and the final basket value is greater than or equal to the downside threshold level, the payment at
maturity will be the sum of the stated principal amount and, if the basket closing value on each day during the final quarterly
monitoring period is greater than or equal to the downside threshold level, a contingent quarterly payment with respect to the
final quarterly monitoring period. However, if the securities have not previously been redeemed and the final basket value is less
than
the downside threshold level, investors will be exposed to the decline in the
basket,
as compared to the initial basket value, on a 1-to-1 basis. Under these circumstances, the payment at maturity will be (i) the
stated principal amount
times
(ii) the basket performance factor, which will be less than
70%
of the stated principal amount of the securities and could be zero.
Investors
in
the securities must be willing to accept the risk of losing their entire
principal and also the risk
of receiving few or no contingent quarterly payments over the term of the securities. In addition, investors will not participate
in any appreciation of the basket.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, each
underlying stock is a “Reference Stock.”
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead, the securities offer investors an opportunity to earn a contingent quarterly payment equal to at least 2.25% of the stated
principal amount with respect to each quarterly monitoring period during which the basket closing value on each day is
greater
than or equal to
70% of the initial basket value, which we refer to as the downside threshold level. The actual contingent
quarterly payment will be provided in the pricing supplement. The securities may be redeemed prior to maturity for the stated principal
amount per security
plus
any contingent quarterly payment otherwise due with respect to the related quarterly monitoring
period, and the payment at maturity will vary depending on the basket closing value on each day during the final quarterly monitoring
period, including the final basket value, as follows:
|
Scenario
1
|
On any contingent payment date (other
than the final contingent payment date), we elect to redeem the securities.
§
The securities will be redeemed for (i) the stated principal amount
plus
(ii) any contingent quarterly payment otherwise
due with respect to the related quarterly monitoring period.
§
Investors will not participate in any appreciation of the basket from the initial basket value.
Any early redemption of the securities will be at our
discretion and will not automatically occur based on the performance of the basket. It is more likely that we will redeem the securities
when it would otherwise be advantageous for you to continue to hold the securities. As such, we will be more likely to redeem the
securities when the basket closing value is at or above the downside threshold level, which would otherwise potentially result
in an amount of interest payable on the securities that is greater than instruments issued by us of a comparable maturity and credit
rating trading in the market. In other words, we will be more likely to redeem the securities when the securities are paying above-market
interest.
If the securities are redeemed prior to maturity, you will
receive no more contingent quarterly payments and may be forced to reinvest in a lower interest rate environment. Under these circumstances,
you may not be able to reinvest the proceeds from an investment in the securities at a comparable return for a similar level of
risk. On the other hand, we will be less likely to exercise our redemption right when the basket closing value is below the downside
threshold level, such that you will receive no contingent quarterly payments and/or that you might suffer a significant loss on
your investment in the securities at maturity. Therefore, if we do not exercise our redemption right, it is more likely that you
will receive few or no contingent quarterly payments and that you will suffer a significant loss on your investment at maturity.
|
|
Scenario
2
|
The securities are not redeemed prior
to maturity, and the final basket value is
greater than or equal to
the downside threshold level.
§
The payment due at maturity will be (i) the stated principal amount
plus
(ii) if the basket closing value on each
day during the final quarterly monitoring period is greater than or equal to the downside threshold level, a contingent quarterly
payment with respect to the final quarterly monitoring period.
§
Investors will not participate in any appreciation of the basket from the initial basket value.
|
|
Scenario
3
|
The securities are not redeemed prior
to maturity, and the final basket value is
less than
the downside threshold level.
§
The payment due at maturity will be (i) the stated principal amount
times
(ii) the basket performance factor.
§
Investors will lose some, and may lose all, of their principal in this scenario.
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for the
securities depending on (1) the basket closing value, (2) the final basket value and (3) whether we exercise our option to redeem
the securities.
Diagram #1: Quarterly Monitoring Periods
(Other Than the Final Quarterly Monitoring Period)
Diagram #2: Payment at Maturity if No
Early Redemption Occurs
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 6.
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
Hypothetical Examples
The below examples are based on the following terms:
|
Stated principal amount:
|
$1,000 per security
|
|
Initial basket value:
|
100.00
|
|
Downside threshold level:
|
70.00, which is 70% of the initial basket value
|
|
Hypothetical contingent quarterly payment:
|
$22.50 (2.25% of the stated principal amount) per security
|
In Examples 1 and 2, the closing basket
value fluctuates over the term of the securities and we elect to call the securities on one of the contingent payment dates (other
than the final contingent payment date). In Examples 3 and 4, the securities are not redeemed prior to, and remain outstanding
until, maturity. Any redemption of the securities will be at our discretion and will not automatically occur based on the performance
of the basket.
|
|
Example 1
|
Example 2
|
|
Quarterly Monitoring Period
|
Lowest Basket Closing Value During Quarterly Monitoring Period
|
Contingent Quarterly Payment
|
Early Redemption Payment*
|
Lowest Basket Closing Value During Quarterly Monitoring Period
|
Contingent Quarterly Payment
|
Early Redemption Payment*
|
|
#1
|
60.00
|
$0
|
N/A
|
80.00
|
$22.50
|
N/A
|
|
#2
|
65.00
|
$0
|
N/A
|
65.00
|
$0
|
N/A
|
|
#3
|
68.00
|
$0
|
N/A
|
75.00
|
$22.50
|
N/A
|
|
#4
|
125.00
|
—*
|
$1,022.50
|
60.00
|
$0
|
N/A
|
|
#5
|
N/A
|
N/A
|
N/A
|
85.00
|
$22.50
|
N/A
|
|
#6
|
N/A
|
N/A
|
N/A
|
55.00
|
—*
|
$1,000.00
|
|
#7
|
N/A
|
N/A
|
N/A
|
N/A
|
$0
|
N/A
|
|
Final Quarterly Monitoring Period
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
* The early redemption payment includes any
unpaid contingent quarterly payment with respect to the related quarterly monitoring period.
|
|
§
|
In
Example 1
, we elect to redeem the securities on the fourth contingent payment date. As the basket closing value on
at least one day during each of the first, second and third quarterly monitoring periods is less than the downside threshold level,
no contingent quarterly payment was made with respect to those quarterly monitoring periods. As the basket closing value on each
day during the fourth quarterly monitoring period is greater than or equal to the downside threshold level, the early redemption
payment you receive on the fourth contingent payment date includes the contingent quarterly payment due with respect to that quarterly
monitoring period, and the early redemption payment is calculated as follows:
|
stated principal amount + contingent
quarterly payment = $1,000.00 + $22.50 = $1,022.50
In this example, the optional early
redemption feature limits the term of your investment to approximately 12 months and you may not be able to reinvest at comparable
terms or returns. If the securities are redeemed early, you will stop receiving contingent quarterly payments. Further, although
the basket has appreciated by 25% from its initial basket value on the fourth determination date, you receive only $1,022.50 per
security upon redemption and do not benefit from this appreciation.
|
|
§
|
In
Example 2
, we elect to redeem the securities on the 6
th
contingent payment date. As the basket closing
value on each day during the first, third and fifth quarterly monitoring periods is greater than or equal to the downside threshold
level, you receive the contingent quarterly payment of $22.50 with respect to each of those quarterly monitoring periods. However,
because the basket closing value is below the downside threshold level on at least one day during the 6
th
quarterly
monitoring period, the early redemption payment you receive on the 6
th
contingent payment date does not include any
contingent quarterly payment with respect to that quarterly monitoring period, and the early redemption payment is equal to the
stated principal amount of $1,000.
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
In this example, the optional early redemption feature
limits the term of your investment to approximately 18 months and you may not be able to reinvest at comparable terms or returns.
If the securities are redeemed early, you will stop receiving contingent quarterly payments. The total payments on the securities
will amount to $1,067.50 per security.
|
|
Example 3
|
Example 4
|
|
Quarterly Monitoring Period
|
Lowest Basket Closing Value During Quarterly Monitoring Period
|
Final Basket Value
|
Contingent Quarterly Payment
|
Early Redemption Payment*
|
Lowest Basket Closing Value During Quarterly Monitoring Period
|
Final Basket Value
|
Contingent Quarterly Payment
|
Early Redemption Payment*
|
|
#1
|
60.00
|
N/A
|
$0
|
N/A
|
80.00
|
N/A
|
$22.50
|
N/A
|
|
#2
|
65.00
|
N/A
|
$0
|
N/A
|
65.00
|
N/A
|
$0
|
N/A
|
|
#3
|
68.00
|
N/A
|
$0
|
N/A
|
68.00
|
N/A
|
$0
|
N/A
|
|
#4
|
60.00
|
N/A
|
$0
|
N/A
|
65.00
|
N/A
|
$0
|
N/A
|
|
#5
|
55.00
|
N/A
|
$0
|
N/A
|
75.00
|
N/A
|
$22.50
|
N/A
|
|
#6
|
60.00
|
N/A
|
$0
|
N/A
|
80.00
|
N/A
|
$22.50
|
N/A
|
|
#7
|
50.00
|
N/A
|
$0
|
N/A
|
65.00
|
N/A
|
$0
|
N/A
|
|
Final Quarterly Monitoring Period
|
45.00
|
55.00
|
$0
|
N/A
|
70.00
|
70.00
|
$22.50
|
N/A
|
|
Payment at Maturity
|
$550.00
|
$1,022.50
|
Examples 3 and 4 illustrate the payment
at maturity per security based on the final basket value.
In
Example 3
, the securities are not redeemed prior
to maturity and the basket closing value is below the downside threshold level on at least one during each quarterly monitoring
period. As a result, you do not receive any contingent quarterly payment during the term of the securities and because the final
basket value is less than the downside threshold level, at maturity, you are fully exposed to the decline in the basket closing
value. As the final basket value is less than the downside threshold level, you receive at maturity (i) the stated principal amount
times
(ii) the basket performance factor, calculated as follows:
$1,000.00 × 55.00 / 100.00 =
$550.00
In this example, the amount you receive
at maturity is significantly less than the stated principal amount.
In
Example 4
, the securities are not redeemed prior
to maturity and the basket closing value decreases to a final basket value of 70.00. As the basket closing value on each day during
the first fifth and sixth quarterly monitoring periods is greater than or equal to the downside threshold level, you receive the
contingent quarterly payment of $22.50 with respect to each of those quarterly monitoring periods. Although the final basket value
is less than the initial basket value, because the final basket value is still not less than the downside threshold level, at maturity
you will receive the stated principal amount and, because the basket closing value on each day during the final quarterly monitoring
period is greater than or equal to the downside threshold level, the contingent quarterly payment with respect to the final quarterly
monitoring period. Your payment at maturity is $1,022.50.
In this example, although the final basket value represents
a 30% decline from the initial basket value, you receive the stated principal amount at maturity. In addition, because the basket
has not declined below the downside threshold level on any day during the final quarterly monitoring period, you also receive at
maturity the contingent quarterly payment with respect to the final quarterly monitoring period. The total payments on the securities
will amount to $1,090.00 per security.
The hypothetical returns and hypothetical
payments on the securities shown above apply
only if you hold the securities for their entire term or until early redemption.
These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these
fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
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 section entitled “Risk
Factors” of the accompanying product supplement. We urge you to consult your investment, legal, tax, accounting and other
advisers in connection with your investment in the securities.
|
|
§
|
The securities do not guarantee the return of any principal and your investment in the securities
may result in a loss.
The terms of the securities differ from those of ordinary debt
securities in that the securities do not guarantee the return of any of the principal amount at maturity. Instead, if the securities
have not been redeemed prior to maturity and if the final basket value is less than the downside threshold level, you will be exposed
to the decline in the basket closing value, as compared to the initial basket value, on a 1-to-1 basis. Under these circumstances,
you will receive for each security that you hold at maturity a cash payment equal to the stated principal amount times the basket
performance factor.
In this case, your payment at maturity will be less than 70% of the
stated principal amount and could be zero.
|
|
|
§
|
You will not receive any contingent quarterly payment for any quarterly monitoring period
if the basket closing value is less than the downside threshold level on any day during that quarterly monitoring period.
The
terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the payment of regular
interest. Instead, a contingent quarterly payment will be made with respect to a quarterly monitoring period only if the basket
closing value on each day during the quarterly monitoring period is greater than or equal to the downside threshold level. If the
basket closing value is below the downside threshold level on any day during a quarterly monitoring period, you will not receive
a contingent quarterly payment for that quarterly monitoring period. It is possible that the basket closing value could be below
the downside threshold level on at least one day during most or all of the quarterly monitoring periods so that you will receive
few or no contingent quarterly payments. If you do not earn sufficient contingent quarterly payments over the term of the securities,
the overall return on the securities may be less than the amount that would be paid on one of our conventional debt securities
of comparable maturity
.
|
|
|
§
|
The contingent quarterly payment is based on the basket closing value during the quarterly
monitoring periods
.
Whether the contingent quarterly payment will be made with respect to a quarterly monitoring
period will be based on the basket closing value on each day during that quarterly monitoring period. As a result, you will not
know whether you will receive the contingent quarterly payment until the end of the related quarterly monitoring period. Moreover,
because the contingent quarterly payment is based on the basket closing value on each day during that quarterly monitoring period,
if the basket closing value on any day during that quarterly monitoring period is below the downside threshold level, you will
not receive any contingent quarterly payment with respect to that quarterly monitoring period, even if the basket closing value
was higher on other days during that quarterly monitoring period.
|
|
|
§
|
The securities are subject to the credit risks of JPMorgan Financial and JPMorgan Chase &
Co., and any actual or anticipated changes to our or JPMorgan Chase & Co.’s credit ratings or credit spreads may adversely
affect the market value of the securities.
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan
Chase & Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined by the
market for taking that credit risk is likely to adversely affect the market value of the securities. If we and JPMorgan Chase &
Co. were to default on our payment obligations, you may not receive any amounts owed to you under the securities and you could
lose your entire investment.
|
|
|
§
|
As a finance subsidiary, JPMorgan Financial has no independent operations and has limited
assets.
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations
beyond the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase &
Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany
agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the securities. If these
affiliates do not make payments to us and we fail to make payments on the securities, you may have to seek payment under the related
guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co.
|
|
|
§
|
Investors will not participate in any appreciation in the basket.
Investors will not participate in any appreciation in the basket from the initial basket
value, and the return on the securities will be limited to the contingent quarterly payment that is paid with respect to each quarterly
monitoring period during which the basket closing value on each day is greater than or equal to the downside threshold level, if
any.
|
|
|
§
|
Early redemption
risk.
The term of your investment in the securities may be
limited to as short as approximately three months by the optional early redemption feature of the securities. Any early redemption
of the securities will be at our discretion and will not automatically occur based on the performance of the basket. It is more
likely that we will redeem the securities when it would otherwise be advantageous for you to continue to hold the securities. As
such, we will be more likely to redeem the securities when the basket closing value is at or above the downside threshold level,
which would otherwise potentially result in an amount
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
of interest payable on the securities
that is greater than instruments issued by us of a comparable maturity and credit rating trading in the market. In other words,
we will be more likely to redeem the securities when the securities are paying above-market interest.
If the securities
are redeemed prior to maturity, you will receive no more contingent quarterly payments and may be forced to reinvest in a lower
interest rate environment. Under these circumstances, you may not be able to reinvest the proceeds from an investment in the securities
at a comparable return for a similar level of risk. On the other hand, we will be less likely to exercise our redemption right
when the basket closing value is below the downside threshold level, such that you will receive no contingent quarterly payments
and/or that you might suffer a significant loss on your investment in the securities at maturity. Therefore, if we do not exercise
our redemption right, it is more likely that you will receive few or no contingent quarterly payments and that you will suffer
a significant loss on your investment at maturity.
|
|
§
|
Economic interests of the issuer, the guarantor, the calculation agent, the
agent of the offering of the securities and other affiliates of the issuer may be different from those of investors.
We and
our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent
and as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used
to determine the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value
of the securities. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
The calculation agent will determine the downside threshold level and the final basket value and whether the basket closing value
on any day during any quarterly monitoring period or the final determination date is below the downside threshold level. Determinations
made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events, may affect
the payment to you at maturity or upon an early redemption.
|
In addition,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the securities and
the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the
securities could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional
information about these risks.
|
|
§
|
Correlation (or lack of correlation) of performances among the underlying
stocks may reduce the performance of the basket, and changes in the prices of the underlying stocks may offset each other
.
The securities are linked to an equally weighted basket consisting of the underlying
stocks. Movements and performances of the underlying stocks may or may not be correlated with each other. At a time when the price
of one or more of the underlying stocks increases, the prices of the other underlying stocks may not increase as much or may decline.
Therefore, in calculating the basket closing value on any day, increases in the price of one or more of the underlying stocks may
be moderated, or more than offset, by the lesser increases or declines in the prices of the other underlying stocks. High correlation
of movements in the prices of the underlying stocks during periods of negative returns could have an adverse effect on your return
on your investment. There can be no assurance that the basket closing value will be greater than or equal to the downside threshold
level on any day during any quarterly monitoring period.
|
|
|
§
|
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
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
market prices of the securities.
See “Additional Information about the Securities — The estimated value of the securities” in this document.
|
|
§
|
The value of the securities as published by JPMS (and which may be reflected
on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.
We generally expect that some of the costs included in the original issue price of the securities will be partially paid back to
you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial predetermined
period. These costs can include selling commissions, the structuring fee, projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. See “Additional Information
about the Securities — Secondary market prices of the securities” in this document for additional information relating
to this initial period. Accordingly, the estimated value of your securities during this initial period may be lower than the value
of the securities as published by JPMS (and which may be shown on your customer account statements).
|
|
|
§
|
Secondary market
prices of the securities will likely be lower than the original issue price of the securities.
Any secondary market prices of the securities will likely be lower than the original issue price of the securities because, among
other things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances
and, also, because secondary market prices (a) exclude selling commissions and the structuring fee and (b) may exclude projected
hedging profits, if any, and estimated hedging costs that are included in the original issue price of the securities. As a result,
the price, if any, at which JPMS will be willing to buy securities from you in secondary market transactions, if at all, is likely
to be lower than the original issue price. Any sale by you prior to the maturity date could result in a substantial loss to you.
See the immediately following risk factor for information about additional factors that will impact any secondary market prices
of the securities.
|
The securities are
not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
See “— Secondary trading may be limited” below.
|
|
§
|
Secondary market
prices of the securities will be impacted by many economic and market factors.
The
secondary market price of the securities during their term will be impacted by a number of economic and market factors, which may
either offset or magnify each other, aside from the selling commissions, structuring fee, projected hedging profits, if any, estimated
hedging costs and the basket closing value, including:
|
|
|
o
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
|
o
|
customary bid-ask spreads for similarly sized trades;
|
|
|
o
|
our internal secondary market funding rates for structured debt issuances;
|
|
|
o
|
the actual and expected volatility in the prices of the underlying stocks;
|
|
|
o
|
the time to maturity of the securities;
|
|
|
o
|
whether the basket closing value has been, or is expected to be, less than the downside threshold level on any day during any
quarterly monitoring period;
|
|
|
o
|
whether we are expected to exercise our right to redeem the securities early;
|
|
|
o
|
the dividend rates on the underlying stocks;
|
|
|
o
|
the actual and expected positive or negative correlation among the underlying stocks, or the actual or expected absence of
any such correlation;
|
|
|
o
|
interest and yield rates in the market generally;
|
|
|
o
|
the occurrence of certain events affecting the issuer of an underlying stock that may or may not require an adjustment to the
stock adjustment factor for that underlying stock, including a merger or acquisition; 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 stocks.
Investing
in the securities is not equivalent to investing in the basket or any underlying stock.
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 underlying stocks.
|
|
|
§
|
No affiliation with
the issuers of underlying stocks.
The issuers of the underlying stocks are not an affiliate
of ours, are not involved with this offering in any way, and have no obligation to consider your interests in taking any corporate
actions that might
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
affect
the value of the securities. We have not made any due diligence inquiry with respect to the issuers of the underlying stocks in
connection with this offering.
|
|
§
|
We may engage in
business with or involving the issuers of the underlying stocks without regard to your interests.
We or our affiliates may presently or from time to time engage in business with the issuers of the underlying stocks without regard
to your interests and thus may acquire non-public information about the issuers of the underlying stocks. Neither we nor any of
our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates from time to time have published
and in the future may publish research reports with respect to the issuers of the underlying stocks, which may or may not recommend
that investors buy or hold the underlying stocks.
|
|
|
§
|
The anti-dilution
protection for the underlying stocks is limited and may be discretionary.
The calculation
agent will make adjustments to the stock adjustment factor for a underlying stock and other adjustments for certain corporate events
affecting an underlying stock. However, the calculation agent will not make an adjustment in response to all events that could
affect an underlying stock. If an event occurs that does not require the calculation agent to make an adjustment, the value of
the securities may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments
in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative
effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of the securities in
making these determinations.
|
|
|
§
|
The underlying stocks
are concentrated in the banking industry
.
Each
of the underlying stocks has been issued by a company whose business is associated with the banking industry. Because the
value of the securities is determined by the performance of the Basket, an investment in these securities will be concentrated
in this industry. As a result, the value of the securities may be subject to greater volatility and be more adversely affected
by a single positive or negative economic, political or regulatory occurrence affecting this industry than a different investment
linked to securities of a more broadly diversified group of issuers.
|
|
|
§
|
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 basket closing value. Any of these hedging or
trading activities on or prior to the pricing date could potentially affect the initial share price of an underlying stock and,
therefore, could potentially increase the value that the closing price of an underlying stock must reach on each day during any
quarterly monitoring period in order for you to earn a contingent quarterly payment or, if the securities are not redeemed prior
to maturity, in order for you to avoid being exposed to the negative price performance of the basket at maturity. Additionally,
these hedging or trading activities during the term of the securities could potentially affect the basket closing value on any
day during any quarterly monitoring period or on the final determination date and, accordingly, whether investors will receive
one or more contingent quarterly payments and, if the securities are not redeemed prior to maturity, the payment to you at maturity.
It is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while the
value of the securities declines.
|
|
|
§
|
Secondary trading may be limited.
The 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 contingent quarterly 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 contingent quarterly payment.
|
|
|
§
|
The U.S. federal income tax consequences of an investment in the securities
are uncertain.
There is no direct legal
authority as to the proper U.S. federal income tax treatment of the securities, and we do not intend to request a ruling from the
IRS. The IRS might not accept, and a court might not uphold, the treatment of the securities as prepaid forward contracts with
associated contingent coupons, as described in “Additional Information about the Securities — Additional Provisions
— Tax considerations” in this document and in “Material U.S. Federal Income Tax Consequences” in the accompanying
product supplement. If the IRS were successful in asserting an alternative treatment for the securities, the timing and character
of any income or loss on the securities could be materially affected. Although the U.S. federal income tax treatment of contingent
quarterly payments (including any contingent quarterly payments paid in connection with an early redemption or at maturity) is
uncertain, in determining our reporting responsibilities we intend (in the absence of an administrative determination or judicial
ruling to the contrary) to treat any contingent quarterly payments as ordinary income. In addition, in 2007 Treasury and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term
of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect
to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
are
linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other
guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the securities,
possibly with retroactive effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the securities, including possible alternative treatments and the issues presented by this notice.
Non-U.S.
Holders — Tax Consideration.
The U.S. federal income tax treatment of contingent quarterly payments is uncertain, and
although we believe it is reasonable to take a position that contingent quarterly payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
securities is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty
so requires, attributable to a permanent establishment in the United States). In the event of any withholding, we will not be required
to pay any additional amounts with respect to amounts so withheld. If you are not a United States person, you are urged to consult
your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities in light of your particular
circumstances.
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
Basket Overview
The basket is an equally weighted basket composed of four
underlying stocks. For additional information about the underlying stocks, see “Underlying Stocks Overview” below.
The following graph is calculated
to show the performance of the basket during the period from January 3, 2011 through July 26, 2016, assuming the underlying stocks
are weighted as set out above
such that the initial basket value was 100 on January 3, 2011
and illustrates the effect of the offset and/or correlation among the underlying stocks during that period. You cannot predict
the future performance of any underlying stock or of the basket as a whole, or whether increases in the price of any underlying
stock will be offset by decreases in the prices of the other underlying stocks. The historical value performance of the basket
and the degree of correlation between the value trends of the underlying stocks (or lack thereof) should not be taken as an indication
of its future performance.
|
Historical Basket Performance*
January 3, 2011 through
July 26, 2016
|
*
The dotted line in the graph indicates the hypothetical
downside threshold level, equal to 70% of the initial basket value.
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
Underlying Stocks Overview
Bank of America Corporation
Bank of America Corporation, which we refer to as “Bank
of America,” is a financial institution that serves individual consumers, small- and middle-market businesses, institutional
investors, large corporations and is a financial institution, serving individual consumers, small- and middle-market businesses,
institutional investors, large corporations and governments with a range of banking, investing, asset management and other financial
and risk management products and services. Bank of America is registered under the Securities Exchange Act of 1934, as amended
(the “Exchange Act”). Information provided to or filed with the SEC by Bank of America pursuant to the Exchange Act
can be located by reference to the SEC file number 001-06523 through the SEC’s website at www.sec.gov. In addition, information
regarding Bank of America may be obtained from other sources including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents.
Information as of market close on July 26, 2016:
|
Bloomberg
Ticker Symbol:
|
BAC
|
52
Week High (on 7/29/2015):
|
$18.16
|
|
Current
Closing Price:
|
$14.53
|
52
Week Low (on 2/11/2016):
|
$11.16
|
|
52
Weeks Ago (on 7/27/2015):
|
$17.67
|
|
|
The table below sets forth the published high and low closing
prices of, as well as dividends on, the common stock of Bank of America for each quarter in the period from January 1, 2011 through
July 26, 2016. The closing price of one share of the common stock of Bank of America on July 26, 2016 was $14.53. The associated
graph shows the closing prices of the common stock of Bank of America for each day in the same period. We obtained the closing
price information above and in the table and graph below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits,
public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the common stock of Bank of America has
experienced significant fluctuations. The historical performance of Bank of America should not be taken as an indication of its
future performance, and no assurance can be given as to the closing price of the common stock of Bank of America on any day during
any quarterly monitoring period, including the final determination date.
|
Common
Stock of Bank of America Corporation (CUSIP: 060505104)
|
High
|
Low
|
Dividends
(Declared)
|
|
2011
|
|
|
|
|
First Quarter
|
$15.25
|
$13.33
|
$0.01
|
|
Second Quarter
|
$13.72
|
$10.50
|
$0.01
|
|
Third Quarter
|
$11.09
|
$6.06
|
$0.01
|
|
Fourth Quarter
|
$7.35
|
$4.99
|
$0.01
|
|
2012
|
|
|
|
|
First Quarter
|
$9.93
|
$5.80
|
$0.01
|
|
Second Quarter
|
$9.68
|
$6.83
|
$0.01
|
|
Third Quarter
|
$9.55
|
$7.04
|
$0.01
|
|
Fourth Quarter
|
$11.60
|
$8.93
|
$0.01
|
|
2013
|
|
|
|
|
First Quarter
|
$12.78
|
$11.03
|
$0.01
|
|
Second Quarter
|
$13.83
|
$11.44
|
$0.01
|
|
Third Quarter
|
$14.95
|
$12.83
|
$0.01
|
|
Fourth Quarter
|
$15.88
|
$13.69
|
$0.01
|
|
2014
|
|
|
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
|
Common
Stock of Bank of America Corporation (CUSIP: 060505104)
|
High
|
Low
|
Dividends
(Declared)
|
|
First Quarter
|
$17.92
|
$16.10
|
$0.01
|
|
Second Quarter
|
$17.34
|
$14.51
|
$0.01
|
|
Third Quarter
|
$17.18
|
$14.98
|
$0.05
|
|
Fourth Quarter
|
$18.13
|
$15.76
|
$0.05
|
|
2015
|
|
|
|
|
First Quarter
|
$17.90
|
$15.15
|
$0.05
|
|
Second Quarter
|
$17.67
|
$15.41
|
$0.05
|
|
Third Quarter
|
$18.45
|
$15.26
|
$0.05
|
|
Fourth Quarter
|
$17.95
|
$15.38
|
$0.05
|
|
2016
|
|
|
|
|
First Quarter
|
$16.43
|
$11.16
|
$0.05
|
|
Second Quarter
|
$15.11
|
$12.18
|
$0.05
|
|
Third Quarter (through July 26, 2016)
|
$14.53
|
$12.74
|
—
|
We make no representation as to the amount of dividends, if
any, that Bank of America may pay in the future. In any event, as an investor in the securities, you will not be entitled to receive
dividends, if any, that may be payable on the common stock of Bank of America.
The Common Stock of Bank of America Corporation – Daily Closing Prices
January 3, 2011 to July 26, 2016
|
This document relates only to the securities offered hereby
and does not relate to the common stock of Bank of America. We have derived all disclosures contained in this document regarding
the common stock of Bank of America from the publicly available documents described in the first paragraph under this “Bank
of America Corporation” section without independent verification. In connection with the offering of the securities, neither
we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Bank of
America. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available
information regarding Bank of America is accurate or complete. Furthermore, we cannot give any assurance that all events occurring
prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described
in the first
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
paragraph under this “Bank of America Corporation”
section) that would affect the trading price of the common stock of Bank of America (and therefore the price of the common stock
of Bank of America at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events
or the disclosure of or failure to disclose material future events concerning Bank of America could affect the value received at
maturity with respect to the securities and therefore the trading prices of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of Bank of America.
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
Citigroup Inc.
Citigroup Inc., which we refer to as “Citigroup,”
is a diversified financial services holding company whose businesses provide consumers, corporations, governments and institutions
with a range of financial products and services, including consumer banking and credit, corporate and investment banking, securities
brokerage, trade and securities services and wealth management. Citigroup is registered under the Exchange Act. Information provided
to or filed with the SEC by Bank of America pursuant to the Exchange Act can be located by reference to the SEC file number 001-09924
through the SEC’s website at www.sec.gov. In addition, information regarding Citigroup may be obtained from other sources
including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
Information as of market close on July 26, 2016:
|
Bloomberg
Ticker Symbol:
|
C
|
52
Week High (on 7/29/2015):
|
$58.92
|
|
Current
Closing Price:
|
$44.15
|
52
Week Low (on 2/11/2016):
|
$34.98
|
|
52
Weeks Ago (on 7/27/2015):
|
$57.96
|
|
|
The table below sets forth the published high and low closing
prices of, as well as dividends on, the common stock of Bank of America for each quarter in the period from January 1, 2011 through
July 26, 2016. The closing price of one share of the common stock of Citigroup on July 26, 2016 was $44.15. The associated graph
shows the closing prices of the common stock of Citigroup for each day in the same period. We obtained the closing price information
above and in the table and graph below from Bloomberg, without independent verification. The closing prices may have been adjusted
by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and
bankruptcy.
Since its inception, the common stock of Citigroup has experienced
significant fluctuations. The historical performance of Citigroup should not be taken as an indication of its future performance,
and no assurance can be given as to the price of one share of the common stock of Citigroup on any day during any quarterly monitoring
period, including the final determination date.
|
Common
Stock of Citigroup Inc. (CUSIP: 172967424)
|
High
|
Low
|
Dividends
(Declared)
|
|
2011
|
|
|
|
|
First Quarter
|
$51.30
|
$43.90
|
$0.00
|
|
Second Quarter
|
$46.00
|
$36.81
|
$0.01
|
|
Third Quarter
|
$42.88
|
$23.96
|
$0.01
|
|
Fourth Quarter
|
$34.17
|
$23.11
|
$0.01
|
|
2012
|
|
|
|
|
First Quarter
|
$38.08
|
$28.17
|
$0.01
|
|
Second Quarter
|
$36.87
|
$24.82
|
$0.01
|
|
Third Quarter
|
$34.79
|
$25.24
|
$0.01
|
|
Fourth Quarter
|
$40.17
|
$32.75
|
$0.01
|
|
2013
|
|
|
|
|
First Quarter
|
$47.60
|
$41.15
|
$0.01
|
|
Second Quarter
|
$53.27
|
$42.50
|
$0.01
|
|
Third Quarter
|
$53.00
|
$47.67
|
$0.01
|
|
Fourth Quarter
|
$53.29
|
$47.67
|
$0.01
|
|
2014
|
|
|
|
|
First Quarter
|
$55.20
|
$46.34
|
$0.01
|
|
Second Quarter
|
$49.58
|
$45.68
|
$0.01
|
|
Third Quarter
|
$53.66
|
$46.90
|
$0.01
|
|
Fourth Quarter
|
$56.37
|
$49.68
|
$0.01
|
|
2015
|
|
|
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
|
Common
Stock of Citigroup Inc. (CUSIP: 172967424)
|
High
|
Low
|
Dividends
(Declared)
|
|
First Quarter
|
$54.26
|
$46.95
|
$0.01
|
|
Second Quarter
|
$57.39
|
$51.52
|
$0.05
|
|
Third Quarter
|
$60.34
|
$49.00
|
$0.05
|
|
Fourth Quarter
|
$55.87
|
$49.88
|
$0.05
|
|
2016
|
|
|
|
|
First Quarter
|
$51.13
|
$34.98
|
$0.05
|
|
Second Quarter
|
$47.33
|
$38.48
|
$0.05
|
|
Third Quarter (through July 26, 2016)
|
$44.57
|
$40.78
|
—
|
We make no representation as to the amount of dividends, if
any, that Citigroup may pay in the future. In any event, as an investor in the securities, you will not be entitled to receive
dividends, if any, that may be payable on the common stock of Citigroup.
The Common Stock of Citigroup Inc. – Daily Closing Prices
January 3, 2011 to July 26, 2016
|
This document relates only to the securities offered hereby
and does not relate to the common stock of Citigroup. We have derived all disclosures contained in this document regarding the
common stock of Citigroup from the publicly available documents described in the first paragraph under this “Citigroup Inc.”
section without independent verification. In connection with the offering of the securities, neither we nor the agent has participated
in the preparation of such documents or made any due diligence inquiry with respect to Citigroup. Neither we nor the agent makes
any representation that such publicly available documents or any other publicly available information regarding Citigroup is accurate
or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that
would affect the accuracy or completeness of the publicly available documents described in the first paragraph under this “Citigroup
Inc.” section) that would affect the trading price of the common stock of Citigroup (and therefore the price of the common
stock of Citigroup at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events
or the disclosure of or failure to disclose material future events concerning Citigroup could affect the value received at maturity
with respect to the securities and therefore the trading prices of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of Citigroup.
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
Capital One Financial
Corporation
Capital One Financial Corporation, which we refer to as “Capital
One,” is a is a diversified financial services holding company with banking and non-banking subsidiaries that offer a range
of financial products and services to consumers, small-businesses and commercial clients through branches, the internet and other
distribution channels. Capital One is registered under the Exchange Act. Information provided to or filed with the SEC by Capital
One pursuant to the Exchange Act can be located by reference to the SEC file number 001-13300 through the SEC’s website at
www.sec.gov. In addition, information regarding Capital One may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents.
Information as of market close on July 26, 2016:
|
Bloomberg
Ticker Symbol:
|
COF
|
52
Week High (on 8/10/2015):
|
$82.49
|
|
Current
Closing Price:
|
$67.69
|
52
Week Low (on 6/27/2016):
|
$58.15
|
|
52
Weeks Ago (on 7/27/2015):
|
$78.61
|
|
|
The table below sets forth the published high and low closing
prices of, as well as dividends on, the common stock of Capital One for each quarter in the period from January 1, 2011 through
July 26, 2016. The closing price of Capital One on July 26, 2016 was $67.69. The associated graph shows the closing prices of the
common stock of Capital One for each day in the same period. We obtained the closing price information above and in the table and
graph below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for corporate
actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the closing price of Capital One has
experienced significant fluctuations. The historical performance of Capital One should not be taken as an indication of its future
performance, and no assurance can be given as to the price of the common stock of Capital One on any day during any quarterly monitoring
period, including the final determination date.
|
Common
Stock of Capital One Financial Corporation (CUSIP:
14040H105)
|
High
|
Low
|
Dividends
(Declared)
|
|
2011
|
|
|
|
|
First Quarter
|
$52.76
|
$43.68
|
$0.05
|
|
Second Quarter
|
$56.21
|
$47.87
|
$0.05
|
|
Third Quarter
|
$54.31
|
$37.63
|
$0.05
|
|
Fourth Quarter
|
$47.07
|
$37.75
|
$0.05
|
|
2012
|
|
|
|
|
First Quarter
|
$57.15
|
$43.75
|
$0.05
|
|
Second Quarter
|
$56.36
|
$48.40
|
$0.05
|
|
Third Quarter
|
$59.37
|
$53.36
|
$0.05
|
|
Fourth Quarter
|
$61.40
|
$54.77
|
$0.05
|
|
2013
|
|
|
|
|
First Quarter
|
$62.88
|
$50.80
|
$0.05
|
|
Second Quarter
|
$62.81
|
$52.76
|
$0.30
|
|
Third Quarter
|
$69.70
|
$63.59
|
$0.30
|
|
Fourth Quarter
|
$76.61
|
$67.83
|
$0.30
|
|
2014
|
|
|
|
|
First Quarter
|
$78.02
|
$68.66
|
$0.30
|
|
Second Quarter
|
$83.49
|
$72.95
|
$0.30
|
|
Third Quarter
|
$84.95
|
$78.04
|
$0.30
|
|
Fourth Quarter
|
$83.31
|
$76.43
|
$0.30
|
|
2015
|
|
|
|
|
First Quarter
|
$82.49
|
$73.21
|
$0.30
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
|
Common
Stock of Capital One Financial Corporation (CUSIP:
14040H105)
|
High
|
Low
|
Dividends
(Declared)
|
|
Second Quarter
|
$89.38
|
$79.67
|
$0.40
|
|
Third Quarter
|
$91.71
|
$71.55
|
$0.40
|
|
Fourth Quarter
|
$81.42
|
$72.18
|
$0.40
|
|
2016
|
|
|
|
|
First Quarter
|
$71.03
|
$58.66
|
$0.40
|
|
Second Quarter
|
$75.96
|
$58.15
|
$0.40
|
|
Third Quarter (through July 26, 2016)
|
$68.85
|
$60.86
|
—
|
We make no representation as to the amount of dividends, if
any, that Capital One may pay in the future. In any event, as an investor in the securities, you will not be entitled to receive
dividends, if any, that may be payable on the common stock of Capital One.
The Common Stock of Capital One Financial Corporation – Daily Closing Prices
January 3, 2011 to July 26, 2016
|
This document relates only to the securities offered hereby
and does not relate to the common stock of Capital One. We have derived all disclosures contained in this document regarding the
common stock of Capital One from the publicly available documents described in the first paragraph under this “Capital One
Financial Corporation” section without independent verification. In connection with the offering of the securities, neither
we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Capital
One. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information
regarding Capital One is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the
date hereof (including events that would affect the accuracy or completeness of the publicly available documents described in the
first paragraph under this “Capital One Financial Corporation” section) that would affect the trading price of the
common stock of Capital One (and therefore the price of the common stock of Capital One at the time we price the securities) have
been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events
concerning Capital One could affect the value received at maturity with respect to the securities and therefore the trading prices
of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of Capital One.
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
Regions Financial Corporation
Regions Financial Corporation, which we refer to as “Regions
Financial,” provides traditional commercial, retail and mortgage banking services, as well as other financial services in
the fields of asset management, wealth management, securities brokerage, insurance brokerage, trust services, merger and acquisition
advisory services, and other specialty financing. Regions Financial is registered under the Exchange Act. Information provided
to or filed with the SEC by Regions Financial pursuant to the Exchange Act can be located by reference to the SEC file number 001-034034
through the SEC’s website at www.sec.gov. In addition, information regarding Regions Financial may be obtained from other
sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
Information as of market close on July 26, 2016:
|
Bloomberg
Ticker Symbol:
|
RF
|
52
Week High (on 8/10/2015):
|
$10.80
|
|
Current
Closing Price:
|
$9.15
|
52
Week Low (on 2/11/2016):
|
$7.08
|
|
52
Weeks Ago (on 7/27/2015):
|
$10.41
|
|
|
The table below sets forth the published high and low closing
prices of, as well as dividends on, the common stock of Regions Financial for each quarter in the period from January 1, 2011 through
July 26, 2016. The closing price of Regions Financial on July 26, 2016 was $9.15. The associated graph shows the closing prices
of the common stock of Regions Financial for each day in the same period. We obtained the closing price information above and in
the table and graph below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg
for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the closing price of Regions Financial
has experienced significant fluctuations. The historical performance of Regions Financial should not be taken as an indication
of its future performance, and no assurance can be given as to the price of the common stock of Regions Financial on any day during
any quarterly monitoring period, including the final determination date.
|
Common
Stock of Regions Financial Corporation (CUSIP: 7591EP100)
|
High
|
Low
|
Dividends
(Declared)
|
|
2011
|
|
|
|
|
First Quarter
|
$8.02
|
$6.88
|
$0.01
|
|
Second Quarter
|
$7.44
|
$5.94
|
$0.01
|
|
Third Quarter
|
$6.42
|
$3.33
|
$0.01
|
|
Fourth Quarter
|
$4.40
|
$3.02
|
$0.01
|
|
2012
|
|
|
|
|
First Quarter
|
$6.61
|
$4.34
|
$0.01
|
|
Second Quarter
|
$6.98
|
$5.55
|
$0.01
|
|
Third Quarter
|
$7.65
|
$6.39
|
$0.01
|
|
Fourth Quarter
|
$7.62
|
$6.25
|
$0.01
|
|
2013
|
|
|
|
|
First Quarter
|
$8.40
|
$7.19
|
$0.01
|
|
Second Quarter
|
$9.71
|
$7.67
|
$0.03
|
|
Third Quarter
|
$10.42
|
$9.07
|
$0.03
|
|
Fourth Quarter
|
$10.11
|
$9.22
|
$0.03
|
|
2014
|
|
|
|
|
First Quarter
|
$11.30
|
$9.82
|
$0.03
|
|
Second Quarter
|
$11.25
|
$9.88
|
$0.05
|
|
Third Quarter
|
$10.88
|
$9.71
|
$0.05
|
|
Fourth Quarter
|
$10.73
|
$9.06
|
$0.05
|
|
2015
|
|
|
|
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities
|
Common
Stock of Regions Financial Corporation (CUSIP: 7591EP100)
|
High
|
Low
|
Dividends
(Declared)
|
|
First Quarter
|
$10.51
|
$8.70
|
$0.05
|
|
Second Quarter
|
$10.76
|
$9.46
|
$0.06
|
|
Third Quarter
|
$10.80
|
$8.77
|
$0.06
|
|
Fourth Quarter
|
$10.26
|
$8.82
|
$0.06
|
|
2016
|
|
|
|
|
First Quarter
|
$9.44
|
$7.08
|
$0.06
|
|
Second Quarter
|
$10.00
|
$7.60
|
$0.07
|
|
Third Quarter (through July 26, 2016)
|
$9.16
|
$8.02
|
—
|
We make no representation as to the amount of dividends, if
any, that Regions Financial may pay in the future. In any event, as an investor in the securities, you will not be entitled to
receive dividends, if any, that may be payable on the common stock of Regions Financial.
The Common Stock of Regions Financial Corporation – Daily Closing Prices
January 3, 2011 to July 26, 2016
|
This document relates only to the securities offered hereby
and does not relate to the common stock of Regions Financial. We have derived all disclosures contained in this document regarding
the common stock of Regions Financial from the publicly available documents described in the first paragraph under this “Regions
Financial Corporation” section without independent verification. In connection with the offering of the securities, neither
we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Regions
Financial. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available
information regarding Regions Financial is accurate or complete. Furthermore, we cannot give any assurance that all events occurring
prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described
in the first paragraph under this “Regions Financial Corporation” section) that would affect the trading price of the
common stock of Regions Financial (and therefore the price of the common stock of Regions Financial at the time we price the securities)
have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future
events concerning Regions Financial could affect the value received at maturity with respect to the securities and therefore the
trading prices of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of Regions Financial.
JPMorgan Chase Financial
Company LLC
Contingent
Income Callable Securities due August 2, 2018
Based on the
Performance of an Equally Weighted Basket of Four Underlying Stocks
Principal at Risk Securities