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JPMorgan Chase Financial Company LLC
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July 2016
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Pricing Supplement No. 501
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Registration Statement Nos. 333-209682 and
333-209682-01
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Dated July 27, 2016
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Filed pursuant to Rule 424(b)(2)
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Structured Investments
Opportunities in U.S. and International Equities
Buffered PLUS Based on the Performance of a Basket
of Five Indices due July 30, 2021
Buffered Performance Leveraged
Upside Securities
SM
Principal at Risk
Securities
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
The Buffered PLUS will pay no interest, provide a minimum payment
at maturity of only 15.00% of the stated principal amount and have the terms described in the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus, as supplemented or modified by this document. At maturity, if the
basket has appreciated in value, investors will receive the stated principal amount of their investment plus leveraged upside performance
of the basket, subject to a maximum payment at maturity. If the basket has declined in value, but has not declined by more than
the specified buffer amount, investors will receive the stated principal amount of their investment. However, if the basket has
declined by more than the buffer amount, at maturity investors will lose 1% for every 1% decline beyond the specified buffer amount,
subject to the minimum payment at maturity of 15.00% of the stated principal amount. Investors may lose up to 85.00% of the stated
principal amount of the Buffered PLUS at maturity. The Buffered PLUS are for investors who seek exposure to an unequally weighted
basket of the five indices specified below and who are willing to risk their principal and forgo current income and upside above
the maximum payment at maturity in exchange for the leverage and buffer features that in each case apply to a limited range of
performance of the basket. At maturity, an investor will receive an amount in cash that may be greater than, equal to or less than
the stated principal amount based upon the basket closing value on the valuation date
.
The Buffered PLUS are unsecured and
unsubordinated obligations of JPMorgan Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is
fully and unconditionally guaranteed by JPMorgan Chase & Co., issued as part of JPMorgan Financial’s Medium-Term Notes,
Series A, program.
Any payment on the Buffered PLUS is subject to the credit risk of JPMorgan Financial, as issuer of the Buffered
PLUS, and the credit risk of JPMorgan Chase & Co., as guarantor of the Buffered PLUS.
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FINAL TERMS
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Issuer:
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JPMorgan Chase Financial Company LLC
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Guarantor:
|
JPMorgan Chase & Co.
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|
Basket:
|
Underlying indices
|
Bloomberg ticker symbol
|
Basket weighting
|
|
|
S&P 500
®
Index (the "SPX Index")
|
SPX
|
60%
|
|
|
S&P MidCap 400
®
Index (the "MID Index")
|
MID
|
10%
|
|
|
Russell 2000
®
Index (the "RTY Index")
|
RTY
|
10%
|
|
|
MSCI EAFE
®
Index (the "MXEA Index")
|
MXEA
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10%
|
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MSCI Emerging Markets Index (the "MXEF Index")
|
MXEF
|
10%
|
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We refer to the SPX Index, the MID Index, the RTY Index, the MXEA Index and the MXEF Index as the underlying indices. Because the SPX Index makes up 60% of the basket, we expect that generally the market value of your Buffered PLUS and your payment at maturity will depend significantly on the performance of the SPX Index.
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Aggregate principal amount:
|
$11,206,700
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|
Payment at maturity:
|
If the final basket value is
greater than
the initial basket value, for each $10 stated principal amount Buffered PLUS,
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|
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$10 + leveraged upside payment
|
|
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In no event will the payment at maturity exceed the maximum payment at maturity.
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If the final basket value is
equal to
the initial basket value or is
less than
the initial basket value but has decreased from the initial basket value by an amount
less than or equal to
the buffer amount of 15.00%, for each $10 stated principal amount Buffered PLUS,
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|
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$10
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|
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If the final basket value is
less than
the initial basket value and has decreased from the initial basket value by an amount
greater than
the buffer amount of 15.00%, for each $10 stated principal amount Buffered PLUS,
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($10 × basket performance factor) + $1.50
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This amount will be less than the stated principal amount of $10 per Buffered PLUS. However, subject to the credit risk of JPMorgan Financial and JPMorgan Chase & Co., under no circumstances will the Buffered PLUS pay less than $1.50 per Buffered PLUS at maturity.
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Leveraged upside payment:
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$10 × leverage factor × basket percent increase
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Leverage factor:
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120%
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Maximum payment at maturity:
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$17.40 (174.00% of the stated principal amount) per Buffered PLUS.
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Minimum payment at maturity:
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$1.50 per Buffered PLUS (15.00% of the stated principal amount)
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Stated principal amount:
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$10 per Buffered PLUS
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Issue price:
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$10 per Buffered PLUS (see "Commissions and issue price" below)
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Pricing date:
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July 27, 2016
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Original issue date (settlement date):
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August 1, 2016
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Valuation date:
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July 27, 2021, subject to postponement in the event of certain market disruption events and as described under "General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings" in the accompanying product supplement
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Maturity date:
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July 30, 2021, 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
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Agent:
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J.P. Morgan Securities LLC ("JPMS")
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Terms continued on the following page
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Commissions and issue price:
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Price to public
(1)
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Fees and commissions
|
Proceeds to issuer
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Per Buffered PLUS
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$10.00
|
$0.30
(2)
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$9.65
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|
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$0.05
(3)
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Total
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$11,206,700.00
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$392,234.50
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$10,814,465.50
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(1)
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See
"Additional Information about the Buffered PLUS — Supplemental use of proceeds
and hedging" in this document for information about the components of the price to public
of the Buffered PLUS.
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(2)
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JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions of $0.30
per $10 stated principal amount Buffered PLUS it receives from us to Morgan Stanley Smith
Barney LLC ("Morgan Stanley Wealth Management"). See "Plan of Distribution (Conflicts
of Interest)" in the accompanying product supplement.
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(3)
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Reflects
a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates
of $0.05 for each $10 stated principal amount Buffered PLUS
|
The estimated value of the Buffered PLUS on the pricing
date was $9.834 per $10 stated principal amount Buffered PLUS. See "Additional Information about the Buffered PLUS —
The estimated value of the Buffered PLUS" in this document for additional information.
Investing in the Buffered PLUS involves a number of risks.
See "Risk Factors" beginning on page PS-10 of the accompanying product supplement, "Risk Factors" beginning
on page US-2 of the accompanying underlying supplement and "Risk Factors" beginning on page 11 of this document.
Neither the Securities and Exchange Commission (the "SEC")
nor any state securities commission has approved or disapproved of the Buffered PLUS or passed upon the accuracy or the adequacy
of this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The Buffered PLUS are not bank deposits, are not insured
by the Federal Deposit Insurance Corporation or any other governmental agency, and are not obligations of, or guaranteed by, a
bank.
You
should read this document together with the related product supplement
,
underlying
supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see "Additional
Information about the Buffered PLUS" at the end of this document.
Product supplement no. MS-1-I dated June 3,
2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
Underlying supplement no. 1-I dated April 15,
2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
Prospectus supplement and prospectus, each dated
April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
|
Terms continued from previous page:
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Basket percent increase:
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(final basket value – initial basket value) / initial basket value
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Initial basket value:
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Set equal to 100 on the pricing date
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Final basket value:
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The basket closing value on the valuation date
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Buffer amount:
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15.00%
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Basket performance factor:
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final basket value / initial basket value
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Basket closing value:
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The basket closing value on the valuation date will be calculated
as follows:
100 × [1 + sum of (index return of each underlying index
× basket weighting of that underlying index)]
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Index return:
|
With respect to each underlying index:
(final index
value – initial index value)
initial index value
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|
Initial index value:
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With respect to each underlying index, the closing level of that underlying index on the pricing date, which was 2,166.58 for the SPX Index, 1,548.49 for the MID Index, 1,218.927 for the RTY Index, 1,660.26 for the MXEA Index and 874.05 for the MXEF Index
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Final index value:
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With respect to each underlying index, the closing level of that underlying index on the valuation date
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CUSIP / ISIN:
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46646W193 / US46646W1936
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Listing:
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The Buffered PLUS will not be listed on any securities exchange.
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JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Investment Summary
Buffered Performance Leveraged Upside
Securities
Principal
at Risk Securities
The
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021 (the "Buffered PLUS") can be used:
|
|
§
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As an alternative to direct exposure to the underlying indices
that enhances returns for a certain range of potential positive performance of the basket.
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§
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To potentially achieve similar levels of upside exposure
to the basket as a direct investment, subject to the maximum payment at maturity, while using fewer dollars by taking advantage
of the leverage factor.
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§
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To obtain a buffer against a specified level of negative
performance in the basket.
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Maturity:
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Approximately 5 years
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Leverage factor:
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120%
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Buffer amount:
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15.00%
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Maximum payment at maturity:
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$17.40 (174.00% of the stated principal
amount) per Buffered PLUS
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Minimum payment at maturity:
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$1.50 per Buffered PLUS. Investors
may lose up to 85.00% of the stated principal amount of the Buffered PLUS at maturity.
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Basket weightings:
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60% for the SPX Index, 10% for the MID
Index, 10% for the RTY Index, 10% for the MXEA Index and 10% for the MXEF Index
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Supplemental Terms of the Buffered PLUS
For
purposes of the accompanying product supplement, each underlying index is an "Index."
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Key
Investment Rationale
Buffered
PLUS offer leveraged exposure to an underlying asset, which may be equities, commodities and/or currencies, while providing limited
protection against negative performance of the asset. If the asset has decreased in value by more than the specified buffer amount,
investors are exposed to the negative performance of the asset, subject to the minimum payment at maturity. At maturity, if the
asset has appreciated, investors will receive the stated principal amount of their investment plus leveraged upside performance
of the underlying asset, subject to the maximum payment at maturity. At maturity, if the asset has depreciated and (i) if the
asset has not depreciated by more than the specified buffer amount, investors will receive the stated principal amount of their
investment or (ii), if the asset has depreciated by more than the buffer amount, the investor will lose 1% for every 1% decline
beyond the specified buffer amount.
Investors may lose up to 85.00% of the stated principal amount of the Buffered PLUS at
maturity.
|
Leveraged Performance
|
The Buffered PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the basket.
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Upside Scenario
|
The final basket value is greater than the initial basket value and, at maturity, the Buffered PLUS pay the stated principal amount of $10
plus
a return equal to 120% of the basket percent increase, subject to the maximum payment at maturity of $17.40 (174.00% of the stated principal amount) per Buffered PLUS.
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Par Scenario
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The final basket value is equal to the initial basket value or declines in value by no more than 15.00% and, at maturity, the Buffered PLUS pay the stated principal amount of $10 per Buffered PLUS.
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Downside Scenario
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The final basket value is less than the initial basket value by more than 15.00% and, at maturity, the Buffered PLUS pay an amount that is less than the stated principal amount. This decrease will be by an amount that is proportionate to the percentage decline of the final basket value from the initial basket value,
plus
the buffer amount of 15.00%. (Example: if the basket decreases in value by 30%, the Buffered PLUS will pay an amount that is less than the stated principal amount by 30%
plus
the buffer amount 15.00%, or $8.50 per Buffered PLUS.) The minimum payment at maturity is $1.50 per Buffered PLUS, subject to the credit risk of JPMorgan Financial and JPMorgan Chase & Co.
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
How
the Buffered PLUS Work
Payoff
Diagram
The
payoff diagram below illustrates the payment at maturity on the Buffered PLUS based on the following terms:
|
Stated principal amount:
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$10 per Buffered PLUS
|
|
Leverage factor:
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120%
|
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Maximum payment at maturity:
|
$17.40 (174.00% of the stated principal amount) per Buffered PLUS
|
|
Minimum payment at maturity:
|
$1.50 per Buffered PLUS
|
|
Buffered PLUS Payoff Diagram
|
|
How
it works
|
|
§
|
Upside
Scenario.
If the final basket value is greater than the initial basket value, for each $10 principal amount Buffered
PLUS investors will receive the $10 stated principal amount
plus
a return equal to 120% of the appreciation of the basket
over the term of the Buffered PLUS, subject to the maximum payment at maturity. Under the terms of the Buffered PLUS, an investor
will realize the maximum payment at maturity at a final basket value of approximately 161.667% of the initial basket value.
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§
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For example, if the basket appreciates 5%, investors will
receive a 6% return, or $10.60 per Buffered PLUS
|
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§
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Par
Scenario.
If the final basket value is equal to the initial basket value or is less than the initial basket value but
has decreased from the initial basket value by an amount less than or equal to the buffer amount of 15.00%, investors will receive
the stated principal amount of $10 per Buffered PLUS.
|
|
|
§
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Downside
Scenario.
If the final basket value is less than the initial basket value and has decreased from the initial basket
value by an amount greater than the buffer amount of 15.00%, investors will receive an amount that is significantly less than
the stated principal amount by an amount proportionate to the percentage decrease of the final basket value from the initial basket
value
plus
the buffer amount of 15.00%. The minimum payment at maturity is $1.50 per Buffered PLUS.
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§
|
For example, if the basket depreciates 50%, investors
will lose 35% of their principal and receive only $6.50 per Buffered PLUS at maturity, or 65% of the stated principal amount.
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
The hypothetical
returns and hypothetical payments on the Buffered PLUS shown above apply
only if you hold the Buffered PLUS for their entire
term.
These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market.
If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Hypothetical
Payouts on the Buffered PLUS at Maturity
Below
are four examples of how to calculate the payment at maturity based on the hypothetical values of the underlying indices in the
respective tables below. The following hypothetical examples are provided for illustrative purposes only. Actual results may vary.
Example
1
: The final basket value is greater than the initial basket value, and the payment at maturity is
less than
the hypothetical maximum payment at maturity.
|
Underlying Index
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Weight in Basket
|
Hypothetical
initial index value
|
Hypothetical
final index value
|
Index return
|
|
SPX Index
|
60%
|
2,150.00
|
2,203.75
|
+2.50%
|
|
MID Index
|
10%
|
1,500.00
|
1,537.50
|
+2.50%
|
|
RTY Index
|
10%
|
1,200.00
|
1,230.00
|
+2.50%
|
|
MXEA Index
|
10%
|
1,600.00
|
1,640.00
|
+2.50%
|
|
MXEF Index
|
10%
|
850.00
|
871.25
|
+2.50%
|
Basket
percent increase = (final basket value – initial basket value) / initial basket value
Initial
basket value = 100
Final
basket level = 100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying index)]
Using
the hypothetical values above, the sum of the index return of each underlying index times the basket weighting of that underlying
index:
[(2,203.75
– 2,150.00) / 2,150.00] × 60% = 1.50%
[(1,537.50
– 1,500.00) / 1,500.00] × 10% = 0.25%
[(1,230.00
– 1,200.00) / 1,200.00] × 10% = 0.25%
[(1,640.00
– 1,600.00) / 1,600.00] × 10% = 0.25%
[(871.25 –
850.00) / 850.00] × 10% = 0.25%
1.50%
+ 0.25% + 0.25% + 0.25% + 0.25% = 2.50%
|
Final basket value
|
=
|
100 × (1 + 2.50%), which equals 102.50
|
|
Basket percent increase
|
=
|
(102.50 – 100) / 100, which equals 2.50%
|
The payment
at maturity per Buffered PLUS will equal $10
plus
the leveraged upside payment, subject to the maximum payment at maturity.
The leveraged upside payment will equal (i) $10
times
(ii) the leverage factor
times
(iii), the basket percent increase
or:
$10 ×
120% × 2.5% = $0.30
Because
this amount would not result in a payment at maturity that would exceed the maximum payment at maturity of $17.40 per Buffered
PLUS, the payment at maturity will equal $10
plus
the leveraged upside payment, or:
$10 +
$0.30 = $10.30
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Example
2
: The final basket value is greater than the initial basket value, and the payment at maturity is
equal to
the hypothetical
maximum payment at maturity.
|
Underlying index
|
Weight in Basket
|
Hypothetical
initial index value
|
Hypothetical
final index value
|
Index return
|
|
SPX Index
|
60%
|
2,150.00
|
3,655.00
|
+70.00%
|
|
MID Index
|
10%
|
1,500.00
|
2,550.00
|
+70.00%
|
|
RTY Index
|
10%
|
1,200.00
|
2,040.00
|
+70.00%
|
|
MXEA Index
|
10%
|
1,600.00
|
2,720.00
|
+70.00%
|
|
MXEF Index
|
10%
|
850.00
|
1,445.00
|
+70.00%
|
Basket
percent increase = (final basket value – initial basket value) / initial basket value
Initial
basket value = 100
Final
basket level = 100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying index)]
Using
the hypothetical values above, the sum of the index return of each underlying index times the basket weighting of that underlying
index:
[(3,655.00
– 2,150.00) / 2,150.00] × 60% = 42%
[(2,550.00
– 1,500.00) / 1,500.00] × 10% = 7%
[(2,040.00
– 1,200.00) / 1,200.00] × 10% = 7%
[(2,720.00
– 1,600.00) / 1,600.00] × 10% = 7%
[(1,445.00
– 850.00) / 850.00] × 10% = 7%
42%
+ 7% + 7% + 7% + 7% = 70%
|
Final basket value
|
=
|
100 × (1 + 70%), which equals 170
|
|
Basket percent increase
|
=
|
(170 – 100) / 100, which equals 70%
|
The payment
at maturity per Buffered PLUS will equal $10
plus
the leveraged upside payment, subject to the maximum payment at maturity.
The leveraged upside payment will equal (i) $10
times
(ii) the leverage factor
times
(iii) the basket percent increase,
or:
$10 ×
120% × 70% = $8.40
Because
this amount would result in a payment at maturity that would exceed the maximum payment at maturity of $17.40 per Buffered PLUS,
the payment at maturity will equal the maximum payment at maturity of $17.40 per Buffered PLUS.
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Example
3
: The final basket value is less than the initial basket value, but has decreased by an amount less than the buffer amount.
|
Underlying index
|
Weight in Basket
|
Hypothetical
initial index value
|
Hypothetical
final index value
|
Index return
|
|
SPX Index
|
60%
|
2,150.00
|
1,935.00
|
-10.00%
|
|
MID Index
|
10%
|
1,500.00
|
1,350.00
|
-10.00%
|
|
RTY Index
|
10%
|
1,200.00
|
1,080.00
|
-10.00%
|
|
MXEA Index
|
10%
|
1,600.00
|
1,440.00
|
-10.00%
|
|
MXEF Index
|
10%
|
850.00
|
765.00
|
-10.00%
|
Basket
percent increase = (final basket value – initial basket value) / initial basket value
Initial
basket value = 100
Final
basket level = 100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying index)]
Using
the hypothetical values above, the sum of the index return of each underlying index times the basket weighting of that underlying
index:
[(1,935.00
– 2,150.00) / 2,150.00] × 60% = -6%
[(1,350.00
– 1,500.00) / 1,500.00] × 10% = -1%
[(1,080.00
– 1,200.00) / 1,200.00] × 10% = -1%
[(1,440.00
– 1,600.00) / 1,600.00] × 10% = -1%
[(765.00 –
850.00) / 850.00] × 10% = -1%
(-6%)
+ (-1%) + (-1%) + (-1%) + (-1%) = -10%
|
Final basket value
|
=
|
100 × [1 + (-10%)], which equals 90
|
|
Basket percent increase
|
=
|
(90 – 100) / 100, which equals -10%
|
The payment
at maturity per Buffered PLUS will equal $10.
Because
the final basket value is less than the initial basket value but has decreased from the initial basket value by an amount less
than or equal to the buffer amount of 15.00%, investors will receive the stated principal amount of $10 per Buffered PLUS.
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Example
4
: The final basket value is less than the initial basket value and has decreased by an amount that is more than the buffer
amount.
|
Underlying index
|
Weight in Basket
|
Hypothetical
initial index value
|
Hypothetical
final index value
|
Index return
|
|
SPX Index
|
60%
|
2,150.00
|
860.00
|
-60.00%
|
|
MID Index
|
10%
|
1,500.00
|
1,650.00
|
+10.00%
|
|
RTY Index
|
10%
|
1,200.00
|
1,320.00
|
+10.00%
|
|
MXEA Index
|
10%
|
1,600.00
|
1,760.00
|
+10.00%
|
|
MXEF Index
|
10%
|
850.00
|
935.00
|
+10.00%
|
Basket
performance factor = final basket value / initial basket value
Initial
basket value = 100
Final
basket level = 100 × [1 + sum of (index return of each underlying index × basket weighting of that underlying index)]
Using
the hypothetical values above, the sum of the index return of each underlying index times the basket weighting of that underlying
index:
[(860.00 –
2,150.00) / 2,150.00] × 60% = -36%
[(1,650.00
– 1,500.00) / 1,500.00] × 10% = 1%
[(1,320.00
– 1,200.00) / 1,200.00] × 10% = 1%
[(1,760.00
– 1,600.00) / 1,600.00] × 10% = 1%
[(935.00 –
850.00) / 850.00] × 10% = 1%
(-36%)
+ 1% + 1% + 1% + 1% = -32%
|
Final basket value
|
=
|
100 × (1 + (-32%)), which equals 68
|
|
Basket performance factor
|
=
|
68 / 100, which equals 68%
|
In the
above example, the final index values of all the underlying indices except for the SPX index (with a combined weighting of 40%
of the basket) are each higher than their respective initial index values, but the final index value of the SPX Index (with a
weighting of 60% of the basket) is lower than its initial index value. Accordingly, although the final index values of 40% of
the underlying indices (by weight) have increased in value over their respective initial index values, the final index value of
the other 60% (by weight) of the basket has declined and, because it has declined significantly, its decline more than offsets
the increases in the other underlying indices and, consequently, the basket performance factor is less than 100%.
Because
the final basket value is less than the initial basket value by an amount greater than the buffer amount of 15.00%, in this example,
the payment at maturity per Buffered PLUS will equal $10
times
the basket performance factor
plus
$1.50 per $10
principal amount Buffered PLUS; or
($10
× 68%) + $1.50 = $8.30
The
payment at maturity per Buffered PLUS will be $8.30, which is less than the stated principal amount by an amount that is proportionate
to the percentage decline in the basket plus the buffer amount.
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Risk
Factors
The
following is a non-exhaustive list of certain key risk factors for investors in the Buffered PLUS. For further discussion of these
and other risks, you should read the sections entitled "Risk Factors" of the accompanying product supplement and the accompanying
underlying supplement. We urge you to consult your investment, legal, tax, accounting and other advisers in connection with your
investment in the Buffered PLUS.
|
|
§
|
The
Buffered PLUS do not pay interest and you could lose up to 85.00% of your principal at maturity.
The terms of the Buffered PLUS differ from those of ordinary debt securities in that the Buffered PLUS do not pay interest and
provide a minimum payment at maturity of only 15.00% of your principal, subject to the credit risk of JPMorgan Financial and JPMorgan
Chase & Co. If the final basket value has declined by an amount greater than the buffer amount of 15.00% from the initial
basket value, you will receive for each Buffered PLUS that you hold a payment at maturity that is less than the stated principal
amount of each Buffered PLUS by an amount proportionate to the decline in the value of the basket, plus $1.50 per Buffered PLUS.
Accordingly, you could lose up to 85.00% of your principal.
|
|
|
§
|
The
appreciation potential of the Buffered PLUS is limited by the maximum payment at maturity.
The appreciation potential of the Buffered PLUS is limited by the maximum payment at maturity of $17.40 (174.00% of the stated
principal amount) per Buffered PLUS. Because the maximum payment at maturity will be limited to 174.00% of the stated principal
amount for the Buffered PLUS, any increase in the final basket value by more than approximately 61.667% will not further increase
the return on the Buffered PLUS.
|
|
|
§
|
The
Buffered PLUS 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
Buffered PLUS.
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on
the Buffered PLUS. 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 Buffered PLUS. If we and JPMorgan Chase & Co. were to default on our payment obligations, you
may not receive any amounts owed to you under the Buffered PLUS 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 Buffered PLUS. If these affiliates do not make payments to us and we fail
to make payments on the Buffered PLUS, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and
that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
|
|
§
|
Economic interests of the issuer, the guarantor, the calculation
agent
, the agent of the offering of the Buffered PLUS 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 Buffered PLUS, including acting as calculation
agent and
as
an agent of the offering of the Buffered PLUS, hedging our obligations under the Buffered PLUS
and making the assumptions used to determine the
pricing of the Buffered PLUS and the estimated value of the Buffered PLUS, which we refer to as the estimated value of the Buffered
PLUS. 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 Buffered PLUS.
The calculation agent will determine the final basket value and will calculate the amount of payment you will receive at maturity.
Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption
events, the selection of a successor to any underlying index, calculation of the final index value of any underlying index in
the event of a discontinuance or material change in method of calculation of that underlying index, may affect the payment to
you at maturity.
|
In
addition, JPMorgan Chase & Co. is currently one of the companies that make up the SPX Index. JPMorgan Chase & Co. will
not have any obligation to consider your interests as a holder of the Buffered PLUS in taking any corporate action that might
affect the value of the SPX Index or the Buffered PLUS.
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Moreover,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the Buffered PLUS
and the value of the Buffered PLUS. It is possible that hedging or trading activities of ours or our affiliates
in
connection with the Buffered PLUS could result in substantial returns for us or our affiliates while the value of the Buffered
PLUS 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 indices may reduce the performance of the basket, and changes in
the values of the underlying indices may offset each other
. The Buffered PLUS are linked
to an equally weighted basket consisting of the underlying indices. Movements and performances of the underlying indices may or
may not be correlated with each other. At a time when the value of one or more of the underlying indices increases, the values
of the other underlying indices may not increase as much or may decline. Therefore, in calculating the final basket value, increases
in the value of one or more of the underlying indices may be moderated, or more than offset, by the lesser increases or declines
in the values of the other underlying indices. High correlation of movements in the values of the underlying indices during periods
of negative returns could have an adverse effect on your return on your investment. There can be no assurance that the final basket
value will be greater than the initial basket value.
|
|
|
§
|
The
underlying indices are not equally weighted.
Because
the underlying indices are not equally weighted, the same percentage change in two of the underlying indices may have different
effects on the basket closing value. For example, because the weighting for the SPX Index is greater than the weighting for the
MID Index, a 5% decrease in the value of the SPX Index will have a greater effect on the basket closing value than a 5% increase
in the value of the MID Index. Because the SPX Index makes up 60% of the basket, we expect that generally the market value of
your Buffered PLUS and your payment at maturity will depend significantly on the performance of the SPX Index. See "Hypothetical
Payouts on the Buffered PLUS at Maturity — Example 4" in this document.
|
|
|
§
|
The
estimated value of the Buffered PLUS is lower than the original issue price (price to public) of the Buffered PLUS.
The estimated value of the Buffered PLUS is only an estimate determined by reference to several factors. The original issue price
of the Buffered PLUS exceeds the estimated value of the Buffered PLUS because costs associated with selling, structuring and hedging
the Buffered PLUS are included in the original issue price of the Buffered PLUS. 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 Buffered PLUS and the estimated cost of hedging our obligations under the Buffered PLUS. See "Additional
Information about the Buffered PLUS — The estimated value of the Buffered PLUS" in this document.
|
|
|
§
|
The
estimated value of the Buffered PLUS does not represent future values of the Buffered PLUS and may differ from others’ estimates.
The estimated value of the Buffered PLUS is determined by reference to internal pricing models of our affiliates.
This estimated value of the Buffered PLUS 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 Buffered PLUS that are greater than or less than the estimated
value of the Buffered PLUS. 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 Buffered PLUS 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 the Buffered PLUS from you in secondary market
transactions. See "Additional Information about the Buffered PLUS — The estimated value of the Buffered PLUS" in this document.
|
|
|
§
|
The
estimated value of the Buffered PLUS is derived by reference to an internal funding rate.
The internal funding rate used in the determination of the estimated value of the Buffered PLUS is based on, among other things,
our and our affiliates’ view of the funding value of the Buffered PLUS as well as the higher issuance,
operational and ongoing liability management costs of the Buffered PLUS 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
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Buffered
PLUS and any secondary market prices of the Buffered PLUS. See "Additional Information about the Buffered PLUS — The estimated
value of the Buffered PLUS" in this document.
|
|
§
|
The
value of the Buffered PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than
the then-current estimated value of the Buffered PLUS for a limited time period.
We generally
expect that some of the costs included in the original issue price of the Buffered PLUS will be partially paid back to you in
connection with any repurchases of your Buffered PLUS 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 Buffered PLUS — Secondary market prices of the Buffered PLUS" in this document for additional information relating
to this initial period. Accordingly, the estimated value of your Buffered PLUS during this initial period may be lower than the
value of the Buffered PLUS as published by JPMS (and which may be shown on your customer account statements).
|
|
|
§
|
Secondary market prices of the Buffered PLUS will likely
be lower than the original issue price of the Buffered PLUS
.
Any
secondary market prices of the Buffered PLUS will likely be lower than the original issue price of the Buffered PLUS 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 Buffered PLUS.
As a result, the price, if any, at which JPMS will be willing to buy Buffered PLUS 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 Buffered PLUS.
|
The
Buffered PLUS are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your
Buffered PLUS to maturity. See "— Secondary trading may be limited" below.
|
|
§
|
Secondary
market prices of the Buffered PLUS will be impacted by many economic and market factors.
The secondary market
price of the Buffered PLUS 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 values of the underlying indices, including:
|
|
|
o
|
any actual or potential change in our or JPMorgan Chase
& Co.’s creditworthiness or credit spreads;
|
|
|
o
|
customary bid-ask spreads for similarly sized trades;
|
|
|
o
|
our internal secondary market funding rates for structured
debt issuances;
|
|
|
o
|
the actual and expected volatility of the underlying indices;
|
|
|
o
|
the time to maturity of the Buffered PLUS;
|
|
|
o
|
dividend rates on the equity securities included in the
underlying indices;
|
|
|
o
|
the actual and expected positive or negative correlation
among the underlying indices, or the actual and expected absence of any such correlation;
|
|
|
o
|
interest and yield rates in the market generally;
|
|
|
o
|
the exchange rates and the volatility of the exchange
rates between the U.S. dollar and each of the currencies in which the equity securities included in the MXEA Index and the MXEF
Index trade and the correlation among those rates and the values of the MXEA Index and the MXEF Index;
|
|
|
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 Buffered PLUS, which may also be reflected
on customer account statements. This price may be different (higher or lower) than the price of the Buffered PLUS, if any, at
which JPMS may be willing to purchase your Buffered PLUS in the secondary market.
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
|
§
|
Investing in the Buffered PLUS is not equivalent to investing
in the basket or the underlying indices.
Investing in the Buffered PLUS is not equivalent to investing in the basket, the
underlying indices or their component stocks. Investors in the Buffered PLUS will not have voting rights or rights to receive
dividends or other distributions or any other rights with respect to the stocks that constitute any underlying index.
|
|
|
§
|
Adjustments to any underlying index could adversely affect
the value of the Buffered PLUS.
The publisher for any underlying index may discontinue or suspend calculation or publication
of that underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute
a successor index that is comparable to any discontinued underlying index and is not precluded from considering indices that are
calculated and published by the calculation agent or any of its affiliates.
|
|
|
§
|
An
investment in the Buffered PLUS is subject to risks associated with mid-size and small capitalization stocks with respect to the
MID Index and the RTY Index.
The stocks that constitute the MID Index and the RTY Index
are issued by companies with relatively mid-size and small market capitalization. The stock prices of mid-size size and smaller
companies may be more volatile than stock prices of large capitalization companies. Mid-size and small capitalization companies
may be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Mid-size
and small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could
be a factor that limits downward stock price pressure under adverse market conditions.
|
|
|
§
|
The Buffered PLUS are subject to risks associated with
securities issued by non-U.S. companies with respect to the MXEA Index and the MXEF Index.
The equity securities included in each of the MXEA Index and MXEF Index have been issued by non-U.S. companies. Investments in
Buffered PLUS linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in the
home countries of the issuers of those non-U.S. equity
securities
,
including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies
in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC.
|
|
|
§
|
The Buffered PLUS are subject to risks associated with
emerging markets with respect to the MXEF Index.
The equity securities included in the
MXEF Index have been issued by non-U.S. companies located in emerging markets countries.
Countries
with emerging markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions
on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more
developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable
to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local
securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume,
potentially making prompt liquidation of holdings difficult or impossible at times.
|
|
|
§
|
The Buffered PLUS
are subject to currency exchange risk with respect to the MXEA Index and MXEF Index.
Because the prices of the equity securities
included in the MXEA Index and MXEF Index are converted into U.S. dollars for the purposes of calculating the values of the MXEA
Index and MXEF Index, holders of the Buffered PLUS will be exposed to currency exchange rate risk with respect to the currencies
in which securities included in the MXEA Index and MXEF Index are traded. Your net exposure will depend on the extent to which
the currencies in which securities included in the MXEA Index and MXEF Index are traded strengthen or weaken against the U.S.
dollar. If the U.S. dollar strengthens against the currencies in which securities included in the MXEA Index and MXEF Index are
traded, the value of the MXEA Index and MXEF Index will be adversely affected and the amount we pay you at maturity may be reduced.
Of particular importance to potential currency exchange risk are:
|
|
|
o
|
existing and expected rates of inflation;
|
|
|
o
|
existing and expected interest rate levels;
|
|
|
o
|
the balance of payments in the countries issuing those
currencies and the United States and between each country and its major trading partners;
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
|
o
|
political, civil or military unrest in the countries issuing
those currencies and the United States; and
|
|
|
o
|
the extent of government surpluses or deficits in the
countries issuing those currencies and the United States.
|
All
of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries
issuing those currencies and the United States and other countries important to international trade and finance.
|
|
§
|
Hedging and trading activities by the issuer and its affiliates
could potentially affect the value of the
Buffered PLUS
.
The
hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the
Buffered
PLUS
on or prior to the pricing date and prior
to maturity could have adversely affected, and may continue to adversely affect, the values of the underlying indices and, as
a result, could decrease the amount an investor may receive on the Buffered PLUS at maturity. Any of these hedging or trading
activities
on or prior to the pricing date could have affected the initial index value of an underlying index and, therefore,
could potentially increase the value that the final index value of an underlying index must reach so that you do not suffer a
loss on your initial investment in the
Buffered PLUS
.
Additionally, these hedging or trading activities during the term of the
Buffered
PLUS
, including on the valuation date, could adversely affect the final basket value and, accordingly, the amount of cash
an investor will receive 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 Buffered PLUS declines.
|
|
|
§
|
Secondary
trading may be limited.
Th
e Buffered PLUS will not be listed on a securities
exchange. There may be little or no secondary market for the Buffered PLUS. Even if there is a secondary market, it may not provide
enough liquidity to allow you to trade or sell the Buffered PLUS easily
.
JPMS
may act as a market maker for the Buffered PLUS, 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 Buffered PLUS, the price at which you may be able
to trade your Buffered PLUS is likely to depend on the price, if any, at which
JPMS
is willing to buy the Buffered PLUS. 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
Buffered PLUS.
|
|
|
§
|
The tax consequences
of an investment in the Buffered PLUS are uncertain.
There
is no direct legal authority as to the proper U.S. federal income tax characterization of the Buffered PLUS, 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 Buffered
PLUS described in "Additional Information about the Buffered PLUS ― 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 Buffered PLUS, the timing and character of any income or loss on
the Buffered PLUS could differ materially and adversely from our description herein. In addition, in 2007 Treasury and the
IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar
instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics, including the character of income
or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the
instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should
be subject to withholding tax; and whether these instruments are or should be subject to the "constructive ownership" regime,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of
an investment in the Buffered PLUS, 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 Buffered PLUS, including possible alternative treatments and the issues presented by this notice.
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Basket Overview
The basket is an unequally weighted basket
composed of five indices.
Underlying
indices
The
S&P 500
®
Index.
The S&P 500
®
Index
,
which is calculated, maintained and published by S&P Dow Jones Indices LLC, consists of stocks of 500 companies selected to
provide a performance benchmark for the U.S. equity
markets.
The calculation of the S&P 500
®
Index is based on the relative value of the float adjusted aggregate market
capitalization of 500 component companies as of a particular time as compared to the aggregate average market capitalization of
the 500 similar companies during the base period of the years 1941 through 1943. For additional information on the S&P 500
®
Index, see the information set forth under "Equity Index Descriptions — The S&P U.S. Indices" in the accompanying
underlying supplement.
The
S&P MidCap 400
®
Index.
The S&P MidCap 400
®
Index consists of stocks of 400 companies
selected to provide a performance benchmark for the medium market capitalization segment of the U.S. equity markets. For additional
information about the S&P MidCap 400
®
Index, see the information set forth under "Equity Index Descriptions
— The S&P U.S. Indices" in the accompanying underlying supplement.
The
Russell 2000
®
Index.
The Russell 2000
®
Index consists of the middle 2,000 companies included
in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest 2,000 companies
included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed to track the performance
of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000
®
Index,
see "Equity Index Descriptions — The Russell Indices" in the accompanying underlying supplement.
The
MSCI EAFE
®
Index.
The MSCI EAFE
®
Index is a free float-adjusted market capitalization index
intended to measure the equity market performance of certain developed markets in Europe, Asia, Australia and New Zealand. As
of the date of this document, the MSCI EAFE
®
Index consists of 21 developed market country indices. For additional
information about the MSCI EAFE
®
Index, see the information set forth under "Equity Index Descriptions —
The MSCI Indices" in the accompanying underlying supplement.
The
MSCI Emerging Markets Index.
The MSCI Emerging Markets Index is a free-float adjusted market capitalization index that is
designed to measure equity market performance of global emerging markets. As of the date of this document, the MSCI Emerging Markets
Index consists of the following 23 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece,
Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand,
Turkey and United Arab Emirates. For additional information about the MSCI Emerging Markets Index, see the information set forth
under "Equity Index Descriptions — The MSCI Indices" in the accompanying underlying supplement.
|
Underlying index information as of July 27, 2016
|
|
|
Bloomberg Ticker Symbol
|
Current Value
|
52 Weeks Ago
|
52 Week High
|
52 Week Low
|
Basket weighting
|
|
The S&P 500
®
Index
|
SPX
|
2,166.58
|
2,067.64
(on 7/27/2015)
|
2,175.03
(on 7/22/2016)
|
1,829.08
(on 2/11/2016)
|
60%
|
|
The S&P MidCap 400
®
Index
|
MID
|
1,548.49
|
1,464.97
(on 7/27/2015)
|
1,554.71
(on 7/26/2016)
|
1,238.82
(on 2/11/2016)
|
10%
|
|
The Russell 2000
®
Index
|
RTY
|
1,218.927
|
1,214.614
(on 7/27/2015)
|
1,238.68
(on 7/31/2015)
|
953.715
(on 2/11/2016)
|
10%
|
|
The MSCI EAFE
®
Index
|
MXEA
|
1,660.26
|
1,846.85
(on 7/27/2015)
|
1,883.89
(on 8/10/2015)
|
1,492.43
(on 2/12/2016)
|
10%
|
|
The MSCI Emerging Markets Index
|
MXEF
|
874.05
|
892.60
(on 7/27/2015)
|
901.68
(on 7/31/2015)
|
688.52
(on 1/21/2016)
|
10%
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
The
following graph is calculated to show the performance of the basket during the period from January 3, 2011 through July 27, 2016,
assuming the underlying indices 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 indices during that period. The graph does not take into account the leverage factor on the Buffered PLUS
or the maximum payment at maturity, nor does it attempt to show your expected return on an investment in the Buffered PLUS. You
cannot predict the future performance of any underlying index or of the basket as a whole, or whether increases in the value of
any underlying index will be offset by decreases in the values of the other underlying indices. The historical value performance
of the basket and the degree of correlation between the value trends of the underlying indices (or lack thereof) should not be
taken as an indication of its future performance.
|
Historical Basket Performance
January 3, 2011 through
July 27, 2016
|
|
The following
graphs set forth the official daily values for each of the underlying indices for the period from January 3, 2011 through July
27, 2016. The related tables set forth the published high and low, as well as end-of-quarter, closing levels for each respective
underlying index for each quarter in the same period. The closing levels on July 27, 2016 were, in the case of the SPX Index,
2,166.58, in the case of the MID Index, 1,548.49, in the case of the RTY Index, 1,218.927, in the case of the MXEA Index, 1,660.26
and in the case of the MXEF Index, 874.05. We obtained the closing level information
above and the information in the tables and graphs from the Bloomberg Professional
®
serive ("Bloomberg"),
without independent verification. The historical values and historical performance of the underlying indices should not be taken
as an indication of future performance, and no assurance can be given as to the closing levels of the underlying indices and basket
closing value on the valuation date. There can be no assurance that the basket will appreciate over the term of the Buffered PLUS
so that you do not suffer a loss on your initial investment in the Buffered PLUS.
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Historical Performance
of the S&P 500
®
Index
January 3, 2011 through
July 27, 2016
|
|
License
Agreement.
"Standard & Poor’s
®
," "S&P
®
,"
"S&P 500
®
" and "Standard & Poor’s 500" are trademarks of Standard & Poor’s Financial Services
LLC and have been licensed for use by JPMorgan Chase & Co. and its affiliates. See "Equity Index Descriptions — The
S&P 500
®
Index — License Agreement with S&P Dow Jones Indices LLC" in the accompanying underlying
supplement.
|
S&P 500
®
Index
|
High
|
Low
|
Period End
|
|
2011
|
|
|
|
|
First Quarter
|
1,343.01
|
1,256.88
|
1,325.83
|
|
Second Quarter
|
1,363.61
|
1,265.42
|
1,320.64
|
|
Third Quarter
|
1,353.22
|
1,119.46
|
1,131.42
|
|
Fourth Quarter
|
1,285.09
|
1,099.23
|
1,257.60
|
|
2012
|
|
|
|
|
First Quarter
|
1,416.51
|
1,277.06
|
1,408.47
|
|
Second Quarter
|
1,419.04
|
1,278.04
|
1,362.16
|
|
Third Quarter
|
1,465.77
|
1,334.76
|
1,440.67
|
|
Fourth Quarter
|
1,461.40
|
1,353.33
|
1,426.19
|
|
2013
|
|
|
|
|
First Quarter
|
1,569.19
|
1,457.15
|
1,569.19
|
|
Second Quarter
|
1,669.16
|
1,541.61
|
1,606.28
|
|
Third Quarter
|
1,725.52
|
1,614.08
|
1,681.55
|
|
Fourth Quarter
|
1,848.36
|
1,655.45
|
1,848.36
|
|
2014
|
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
|
2015
|
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
S&P 500
®
Index
|
High
|
Low
|
Period End
|
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
|
2016
|
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
|
Third Quarter (through July 27, 2016)
|
2,175.03
|
2,088.55
|
2,166.58
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Historical Performance
of the S&P MidCap 400
®
Index
January 3, 2011 through
July 27, 2016
|
|
License Agreement.
"Standard
& Poor’s
®
," "S&P
®
" and "S&P MidCap 400
®
"
are trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use by
JPMorgan
Chase & Co. and certain of its affiliates. See "Equity Index Descriptions — The
S&P
U.S. Indices — License Agreement" in the accompanying underlying supplement.
|
S&P MidCap 400
®
Index
|
High
|
Low
|
Period End
|
|
2011
|
|
|
|
|
First Quarter
|
989.05
|
909.76
|
989.05
|
|
Second Quarter
|
1,015.26
|
929.57
|
978.64
|
|
Third Quarter
|
1,011.65
|
775.07
|
781.26
|
|
Fourth Quarter
|
912.99
|
744.98
|
879.16
|
|
2012
|
|
|
|
|
First Quarter
|
1,005.22
|
885.52
|
994.30
|
|
Second Quarter
|
1,001.65
|
891.32
|
941.64
|
|
Third Quarter
|
1,026.85
|
914.97
|
989.02
|
|
Fourth Quarter
|
1,030.15
|
945.96
|
1,020.43
|
|
2013
|
|
|
|
|
First Quarter
|
1,153.68
|
1,046.32
|
1,153.68
|
|
Second Quarter
|
1,214.89
|
1,104.79
|
1,160.82
|
|
Third Quarter
|
1,257.72
|
1,170.68
|
1,243.85
|
|
Fourth Quarter
|
1,342.53
|
1,222.86
|
1,342.53
|
|
2014
|
|
|
|
|
First Quarter
|
1,389.21
|
1,265.61
|
1,378.50
|
|
Second Quarter
|
1,432.94
|
1,318.50
|
1,432.94
|
|
Third Quarter
|
1,445.16
|
1,365.31
|
1,370.97
|
|
Fourth Quarter
|
1,474.40
|
1,288.10
|
1,452.44
|
|
2015
|
|
|
|
|
First Quarter
|
1,539.61
|
1,410.91
|
1,524.03
|
|
Second Quarter
|
1,549.44
|
1,499.68
|
1,502.17
|
|
Third Quarter
|
1,522.99
|
1,351.29
|
1,368.91
|
|
Fourth Quarter
|
1,473.14
|
1,366.44
|
1,398.58
|
|
2016
|
|
|
|
|
First Quarter
|
1,445.19
|
1,238.82
|
1,445.19
|
|
Second Quarter
|
1,525.14
|
1,416.66
|
1,496.50
|
|
Third Quarter (through July 27, 2016)
|
1,554.71
|
1,482.30
|
1,548.49
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Historical Performance
of the Russell 2000
®
Index
January 3, 2011 through
July 8, 2016
|
|
License Agreement.
The "Russell
2000
®
Index" is a trademark of FTSE Russell and has been licensed for use by JPMorgan Chase & Co. and
certain of its affiliates. For more information, see "Equity Index Descriptions — The Russell Indices —
Disclaimers" in the accompanying underlying supplement.
|
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
|
2011
|
|
|
|
|
First Quarter
|
843.549
|
773.184
|
843.549
|
|
Second Quarter
|
865.291
|
777.197
|
827.429
|
|
Third Quarter
|
858.113
|
643.421
|
644.156
|
|
Fourth Quarter
|
765.432
|
609.490
|
740.916
|
|
2012
|
|
|
|
|
First Quarter
|
846.129
|
747.275
|
830.301
|
|
Second Quarter
|
840.626
|
737.241
|
798.487
|
|
Third Quarter
|
864.697
|
767.751
|
837.450
|
|
Fourth Quarter
|
852.495
|
769.483
|
849.350
|
|
2013
|
|
|
|
|
First Quarter
|
953.068
|
872.605
|
951.542
|
|
Second Quarter
|
999.985
|
901.513
|
977.475
|
|
Third Quarter
|
1,078.409
|
989.535
|
1,073.786
|
|
Fourth Quarter
|
1,163.637
|
1,043.459
|
1,163.637
|
|
2014
|
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
|
Second Quarter
|
1,192.964
|
1,095.986
|
1,192.964
|
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
|
2015
|
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
|
2016
|
|
|
|
|
First Quarter
|
1,114.028
|
953.715
|
1,114.028
|
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
|
Third Quarter (through July 27, 2016)
|
1,218.927
|
1,139.453
|
1,218.927
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Historical Performance
of the MSCI EAFE
®
Index
January 3, 2011 through
July 27, 2016
|
|
We have entered into an agreement with MSCI
Inc. providing us and certain of our affiliates or subsidiaries identified in that agreement with a non-exclusive license and,
for a fee, with the right to use the MSCI Indices, which are owned and published by MSCI Inc., in connection with certain securities,
including the securities. For more information, see "Equity Index Descriptions — The MSCI Indices — License Agreement
with MSCI" in the accompanying underlying supplement.
|
MSCI EAFE
®
Index
|
High
|
Low
|
Period End
|
|
2011
|
|
|
|
|
First Quarter
|
1,758.97
|
1,597.15
|
1,702.55
|
|
Second Quarter
|
1,809.61
|
1,628.03
|
1,708.08
|
|
Third Quarter
|
1,727.43
|
1,331.35
|
1,373.33
|
|
Fourth Quarter
|
1,560.85
|
1,310.15
|
1,412.55
|
|
2012
|
|
|
|
|
First Quarter
|
1,586.11
|
1,405.10
|
1,553.46
|
|
Second Quarter
|
1,570.08
|
1,308.01
|
1,423.38
|
|
Third Quarter
|
1,569.91
|
1,363.52
|
1,510.76
|
|
Fourth Quarter
|
1,618.92
|
1,467.33
|
1,604.00
|
|
2013
|
|
|
|
|
First Quarter
|
1,713.66
|
1,604.15
|
1,674.30
|
|
Second Quarter
|
1,781.84
|
1,598.66
|
1,638.94
|
|
Third Quarter
|
1,844.39
|
1,645.23
|
1,818.23
|
|
Fourth Quarter
|
1,915.60
|
1,790.27
|
1,915.60
|
|
2014
|
|
|
|
|
First Quarter
|
1,940.23
|
1,796.86
|
1,915.69
|
|
Second Quarter
|
1,992.69
|
1,882.24
|
1,972.12
|
|
Third Quarter
|
1,995.49
|
1,846.08
|
1,846.08
|
|
Fourth Quarter
|
1,848.79
|
1,714.64
|
1,774.89
|
|
2015
|
|
|
|
|
First Quarter
|
1,900.90
|
1,697.01
|
1,849.34
|
|
Second Quarter
|
1,949.49
|
1,842.46
|
1,842.46
|
|
Third Quarter
|
1,894.42
|
1,609.50
|
1,644.40
|
|
Fourth Quarter
|
1,779.25
|
1,654.98
|
1,716.28
|
|
2016
|
|
|
|
|
First Quarter
|
1,716.28
|
1,492.43
|
1,652.04
|
|
Second Quarter
|
1,716.51
|
1,520.94
|
1,608.45
|
|
Third Quarter (through July 27, 2016)
|
1,660.26
|
1,573.30
|
1,660.26
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Historical Performance
of the MSCI Emerging Markets Index
January 3, 2011 through
July 27, 2016
|
|
We have entered into an agreement with MSCI
Inc. providing us and certain of our affiliates or subsidiaries identified in that agreement with a non-exclusive license and,
for a fee, with the right to use the MSCI Indices, which are owned and published by MSCI Inc., in connection with certain securities,
including the securities. For more information, see "Equity Index Descriptions — The MSCI Indices — License Agreement
with MSCI" in the accompanying underlying supplement.
|
MSCI Emerging Markets Index
|
High
|
Low
|
Period End
|
|
2011
|
|
|
|
|
First Quarter
|
1,170.87
|
1,087.10
|
1,170.87
|
|
Second Quarter
|
1,206.49
|
1,098.33
|
1,146.22
|
|
Third Quarter
|
1,169.49
|
851.51
|
880.43
|
|
Fourth Quarter
|
1,010.12
|
831.22
|
916.39
|
|
2012
|
|
|
|
|
First Quarter
|
1,079.94
|
917.08
|
1,041.45
|
|
Second Quarter
|
1,055.63
|
882.46
|
937.35
|
|
Third Quarter
|
1,014.07
|
905.65
|
1,002.66
|
|
Fourth Quarter
|
1,055.20
|
969.82
|
1,055.20
|
|
2013
|
|
|
|
|
First Quarter
|
1,082.68
|
1,015.47
|
1,034.90
|
|
Second Quarter
|
1,061.09
|
883.34
|
940.33
|
|
Third Quarter
|
1,022.54
|
905.96
|
987.46
|
|
Fourth Quarter
|
1,044.66
|
979.88
|
1,002.69
|
|
2014
|
|
|
|
|
First Quarter
|
1,002.66
|
916.56
|
994.65
|
|
Second Quarter
|
1,057.59
|
993.12
|
1,050.78
|
|
Third Quarter
|
1,100.98
|
1,005.33
|
1,005.33
|
|
Fourth Quarter
|
1,016.07
|
909.98
|
956.31
|
|
2015
|
|
|
|
|
First Quarter
|
993.82
|
934.73
|
974.57
|
|
Second Quarter
|
1,067.01
|
959.42
|
972.25
|
|
Third Quarter
|
971.91
|
771.77
|
792.05
|
|
Fourth Quarter
|
868.56
|
771.22
|
794.14
|
|
2016
|
|
|
|
|
First Quarter
|
836.80
|
688.52
|
836.80
|
|
Second
Quarter
|
853.69
|
781.84
|
834.10
|
|
Third
Quarter (through July 27, 2016)
|
874.05
|
819.19
|
874.05
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Additional Information about the Buffered
PLUS
Please read this information in conjunction with the summary
terms on the front cover of this document.
|
Additional Provisions:
|
|
Postponement of maturity date:
|
If
the scheduled maturity date is not a business day, then the maturity date will be the following business day. If
the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation
date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Buffered
PLUS will be postponed to the third business day following the valuation date as postponed.
|
|
Minimum ticketing size:
|
$1,000 /
100 Buffered PLUS
|
|
The estimated value of the Buffered PLUS:
|
The estimated value
of the Buffered PLUS set forth on the cover of this document is equal to the sum of the values of the following hypothetical
components: (1) a fixed-income debt component with the same maturity as the Buffered PLUS, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the Buffered PLUS. The estimated
value of the Buffered PLUS does not represent a minimum price at which JPMS would be willing to buy your Buffered PLUS
in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the Buffered PLUS is based on, among other things, our and our affiliates’ view of the funding value of
the Buffered PLUS as well as the higher issuance, operational and ongoing liability management costs of the Buffered PLUS
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information,
see "Risk Factors — The estimated value of the Buffered PLUS is derived by reference to an internal funding rate"
in this document. The value of the derivative or derivatives underlying the economic terms of the Buffered PLUS 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 Buffered PLUS on the pricing date is based on market conditions
and other relevant factors and assumptions existing at that time. See "Risk Factors — The estimated value of the
Buffered PLUS does not represent future values of the Buffered PLUS and may differ from others’ estimates" in this
document.
The estimated value
of the Buffered PLUS is lower than the original issue price of the Buffered PLUS because costs associated with selling,
structuring and hedging the Buffered PLUS are included in the original issue price of the Buffered PLUS. These costs include
the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring fee, the projected
profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the
Buffered PLUS and the estimated cost of hedging our obligations under the Buffered PLUS. 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 Buffered PLUS. See "Risk Factors — The estimated value of the Buffered PLUS
is lower than the original issue price (price to public) of the Buffered PLUS" in this document.
|
|
Trustee:
|
Deutsche
Bank Trust Company Americas (formerly Bankers Trust Company)
|
|
Calculation agent:
|
JPMS
|
|
Secondary market prices of the Buffered PLUS:
|
For
information about factors that will impact any secondary market prices of the Buffered PLUS, see "Risk Factors — Secondary
market prices of the Buffered PLUS will be impacted by many economic and market factors" in this document. In addition,
we generally expect that some of the costs included in the original issue price of the Buffered PLUS will be partially paid
back to you in connection with any repurchases of your Buffered PLUS 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 Buffered
PLUS. The length of any such initial period reflects the structure of the Buffered PLUS, whether our affiliates
expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Buffered PLUS and when
these costs are incurred, as
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JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
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determined
by our affiliates. See "Risk Factors — The value of the Buffered PLUS as published by JPMS (and which may
be reflected on customer account statements) may be higher than the then-current estimated value of the Buffered PLUS for
a limited time period."
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Tax considerations:
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You should review
carefully the section entitled "Material U.S. Federal Income Tax Consequences" in the accompanying product supplement
no. MS-1-I. The following discussion, when read in combination with that section, constitutes the full opinion of
our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of
owning and disposing of the Buffered PLUS.
Based on current market
conditions, in the opinion of our special tax counsel, your Buffered PLUS should be treated as "open transactions" that
are not debt instruments for U.S. federal income tax purposes, as more fully described in "Material U.S. Federal Income
Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt
Instruments" in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your Buffered
PLUS should be treated as long-term capital gain or loss if you hold your Buffered PLUS for more than a year, whether
or not you are an initial purchaser of Buffered PLUS at the issue price. However, the IRS or a court may not respect
this treatment of the Buffered PLUS, in which case the timing and character of any income or loss on the Buffered PLUS
could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these
instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked;
the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject
to withholding tax; and whether these instruments are or should be subject to the "constructive ownership" regime, which
very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the Buffered PLUS, possibly with retroactive effect. You should consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the Buffered PLUS, including possible alternative treatments
and the issues presented by this notice.
Withholding under
legislation commonly referred to as "FATCA" may (if the Buffered PLUS are recharacterized as debt instruments) apply to
amounts treated as interest paid with respect to the Buffered PLUS, as well as to payments of gross proceeds of a taxable
disposition, including redemption at maturity, of a Buffered PLUS. However, under a recent IRS notice, this regime
will not apply to payments of gross proceeds (other than any amount treated as interest) with respect to dispositions
occurring before January 1, 2019. You should consult your tax adviser regarding the potential application of FATCA
to the Buffered PLUS.
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 Buffered PLUS.
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Supplemental use of proceeds and hedging:
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The Buffered PLUS
are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by
the Buffered PLUS. See "How the Buffered PLUS Work" in this document for an illustration of the risk-return profile of
the Buffered PLUS and "Basket Overview" in this document for a description of the market exposure provided by the Buffered
PLUS.
The original issue
price of the Buffered PLUS is equal to the estimated value of the Buffered PLUS plus the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers and the structuring fee, plus (minus) the projected profits (losses) that
our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Buffered PLUS, plus
the estimated cost of hedging our obligations under the Buffered PLUS.
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Benefit plan investor considerations:
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See "Benefit
Plan Investor Considerations" in the accompanying product supplement.
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Validity of the Buffered PLUS and the guarantee:
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In the opinion
of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the
Buffered PLUS offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by
the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such Buffered PLUS will be valid
and binding obligations of JPMorgan Financial and
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JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
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the
related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with
their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts
of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith,
fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is
given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and its authentication of the Buffered PLUS
and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter
of such counsel dated February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan
Financial and JPMorgan Chase & Co. on February 24, 2016.
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Supplemental plan of distribution:
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Subject to regulatory
constraints, JPMS intends to use its reasonable efforts to offer to purchase the Buffered PLUS in the secondary market,
but is not required to do so.
JPMS, acting as agent for JPMorgan Financial, will pay all
of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley Wealth
Management will receive a structuring fee as set forth on the cover of this document for each Buffered PLUS.
We or our affiliate
may enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties
in connection with the sale of the Buffered PLUS and JPMS and/or an affiliate may earn additional income as a result of
payments pursuant to the swap or related hedge transactions. See "— Supplemental use of proceeds and hedging" above
and "Use of Proceeds and Hedging" in the accompanying product supplement.
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Contact:
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Morgan Stanley
Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive
offices at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326).
|
JPMorgan Chase Financial Company LLC
Buffered PLUS Based on the Performance of a Basket of Five Indices due July 30, 2021
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
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Where you can find more information:
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You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes of which these
Buffered PLUS are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This document, together with the documents listed below, contains
the terms of the Buffered PLUS and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
stand-alone fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in the "Risk Factors" sections of the accompanying product supplement and the accompanying underlying
supplement, as the Buffered PLUS 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 Buffered PLUS.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
• Product supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
• Underlying supplement
no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
• Prospectus supplement and prospectus, each dated
April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, "we," "us,"
and "our" refer to JPMorgan Financial.
"Performance Leveraged Upside Securities
SM
"
and "PLUS
SM
" are service marks of Morgan Stanley.
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