You may revoke your offer to purchase the Notes at any time prior
to the time at which we accept such offer by notifying the agent. We reserve the right to change the terms of, or reject any offer
to purchase, the Notes prior to their issuance. In the event of any changes to the terms of the Notes, we will notify you and you
will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case
we may reject your offer to purchase.
This pricing supplement relates to three (3) separate Note offerings.
Each issue of the offered Notes is linked to one, and only one, Underlying. The purchaser of a Note will acquire a Note linked
to a single Underlying (not to a basket or index that includes the other Underlyings). You may participate in any of the three
(3) Note offerings or, at your election, in two or more of the offerings. We reserve the right to withdraw, cancel or modify any
of the offerings and to reject orders in whole or in part. While each Note offering relates only to a single Underlying identified
on the cover page, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to that
Underlying (or any other Underlying) or as to the suitability of an investment in the Notes.
You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes
of which these Notes are a part, and the more detailed information contained in the accompanying product supplement.
This pricing
supplement, together with the documents listed below, contains the terms of the Notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours.
You
should carefully consider, among other things, the matters set forth in the “Risk Factors” section of the accompanying
product supplement, as the Notes involve risks not associated with conventional debt securities.
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
For purposes of the accompanying product supplement,
each of the common stock of Apple Inc., the common stock of Anthem, Inc. and the American depositary shares of Teva Pharmaceutical
Industries Limited is an “Underlying Stock.”
Coupon Observation Dates and Coupon Payment Dates
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Coupon Observation Dates
†
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Coupon Payment Dates
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November 29, 2016
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December 1, 2016
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February 28, 2017
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March 2, 2017
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May 30, 2017
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June 1, 2017
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August 29, 2017
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August 31, 2017
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November 29, 2017
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December 1, 2017
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February 28, 2018
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March 2, 2018
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May 29, 2018
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May 31, 2018
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August 29, 2018
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August 31, 2018
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November 29, 2018
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December 3, 2018
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February 28, 2019
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March 4, 2019
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May 29, 2019
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May 31, 2019
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August 29, 2019 (the Final Valuation Date)
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September 4, 2019 (the Maturity Date)
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†
The Notes are not callable until the second
Coupon Observation Date, February 28, 2017.
Each of the Coupon Observation Dates, and therefore the Coupon
Payment Dates, is subject to postponement in the event of a market disruption event and as described under “General Terms
of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single
Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date”
in the accompanying product supplement.
What Are the Tax Consequences of the Notes?
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You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. In determining our reporting responsibilities
we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons
and (ii) any Contingent Coupons as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax
Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons” in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt.
Sale, Exchange or Redemption of a Note.
Assuming the treatment
described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity),
you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your
tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated
as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain or loss
unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital gain or loss, whether
or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations.
If you sell your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is likely that you
will be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible that proceeds received
from the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon
payment could be treated as ordinary income. You should consult your tax adviser regarding this issue.
As described above, there are other reasonable treatments that
the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected.
In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property
to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any
Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences
of an investment in the Notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal
income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by this
notice.
Non-U.S. Holders — Tax Considerations.
The U.S.
federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a position that
Contingent Coupons are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agent
may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an
applicable income tax treaty), unless income from your Notes is effectively connected with your conduct of a trade or business
in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States).
If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the Notes in light of your particular circumstances.
Non-U.S. holders should also note that, recently promulgated
Treasury regulations imposing a withholding tax on certain “dividend equivalents” under certain “equity linked
instruments” will not apply to the Notes.
FATCA
. Withholding under legislation commonly referred
to as “FATCA” could apply to payments with respect to the Notes that are treated as U.S.-source “fixed or determinable
annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest, if the Notes
are recharacterized, in whole or in part, as debt instruments, or Contingent Coupons if they are otherwise treated as FDAP Income).
If the Notes are recharacterized, in whole or in part, as debt instruments, withholding could also apply to payments of gross proceeds
of a taxable disposition, including an early redemption or redemption at maturity. However, under a recent IRS notice, this regime
will not apply to payments of gross proceeds (other than any amount treated as FDAP Income) with respect to dispositions occurring
before January 1, 2019. You should consult your tax adviser regarding the potential application of FATCA to the Notes.
In the event of any withholding on the Notes, we will not be
required to pay any additional amounts with respect to amounts so withheld.
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the applicable Underlying. These risks are explained in more detail in
the “Risk Factors” section of the accompanying product supplement. We also urge you to consult your investment, legal,
tax, accounting and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
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Your Investment in the Notes May Result in a Loss
— The Notes differ from ordinary debt securities in that JPMorgan
Financial
will not necessarily repay the full principal amount of
the Notes. If the Notes are not called and the closing price of one share of the applicable Underlying has declined below the applicable
Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation in the closing price of one share
of the applicable Underlying from the applicable Initial Value to the applicable Final Value. In this case, JPMorgan Financial
will repay less than the full principal amount at maturity, resulting in a loss of principal that is proportionate to the negative
Underlying Return. Under these circumstances, you will lose 1% of your principal for every 1% that the applicable Final Value is
less than the applicable Initial Value and could lose your entire principal amount. As a result, your investment in the Notes may
not perform as well as an investment in a security that does not have the potential for full downside exposure to the applicable
Underlying at maturity.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Notes are unsecured and unsubordinated debt
obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed by
JPMorgan Chase & Co. The Notes will rank
pari passu
with all of our other unsecured and unsubordinated obligations,
and the related guarantee JPMorgan Chase & Co. will rank
pari passu
with all of JPMorgan Chase & Co.’s other
unsecured and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Notes, including any repayment of principal, depends on the ability of JPMorgan
Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial
and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms
of the Notes and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Limited Assets —
As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our
affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the Notes. If these affiliates do not make payments to us and we fail to make
payments on the Notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
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You Are Not Guaranteed Any Contingent Coupons
—
We will not necessarily make periodic coupon payments on the Notes. If the closing price of one share of the applicable Underlying
on an Observation Date is less than the applicable Coupon Barrier, we will not pay you the applicable Contingent Coupon for that
Observation Date and the applicable Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If
the closing price of one share of the applicable Underlying is less than the applicable Coupon Barrier on each of the Observation
Dates, we will not pay you any Contingent Coupon during the term of, and you will not receive a positive return on, your Notes.
Generally, this non-payment of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes.
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Return on the Notes Limited to the Sum of Any Contingent Coupons
and You Will Not Participate in Any Appreciation of the Applicable Underlying
— The return potential of the Notes
is limited to the specified Contingent Coupon Rate, regardless of the appreciation in the closing price of one share of the applicable
Underlying, which may be significant. In addition, the total return on the Notes will vary based on the number of Observation Dates
on which the requirements for a Contingent Coupon have been met prior to maturity or an automatic call. Further, if the Notes are
called, you will not receive any Contingent Coupons or any other payments in respect of any Observation Dates after the applicable
Call Settlement Date. Because the Notes could be called as early as the twelfth Coupon Observation Date, the total return on the
Notes could be minimal. If the Notes are not called, you may be subject to the applicable Underlying’s risk of decline even
though you are not able to participate in any potential appreciation in the price of the applicable Underlying. Generally,
the longer the Notes remain outstanding, the less likely it is that they will be automatically called, due to the decline in the
price of the applicable Underlying and the shorter time remaining for the price of the applicable Underlying to recover to or above
the applicable Initial Value on a subsequent Observation Date. As a result, the return on an investment in the Notes could be less
than the return on a direct investment in the applicable Underlying. In addition, if the Notes are not called and the applicable
Final Value is below the applicable Downside Threshold, you will have a loss on your principal amount and the overall return on
the Notes may be less than the amount that would be paid on a conventional debt security of JPMorgan Financial of comparable maturity.
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Contingent Repayment of Principal Applies Only If You Hold the Notes
to Maturity
— If you are able to sell your Notes in the secondary market, if any, prior to maturity, you may have
to sell them at a loss relative to your initial investment even if the applicable stock price is above the applicable Downside
Threshold. If by maturity the Notes have not been called, either JPMorgan Financial will repay you the full principal amount per
Note plus the applicable Contingent Coupon, or if the price of one share of the applicable Underlying closes below the applicable
Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity,
resulting in a loss on your principal amount that is proportionate to the decline in the closing price of one share of the applicable
Underlying from the applicable Initial Value to the applicable Final Value. This contingent repayment of principal applies only
if you hold your Notes to maturity.
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A Higher Applicable Contingent Coupon Rate and/or a Lower Applicable
Coupon Barrier and/or Applicable Downside Threshold May Reflect Greater Expected Volatility of the Applicable Underlying, Which
Is Generally Associated With a Greater Risk of Loss —
Volatility is a measure of the degree of variation in the
price of the applicable Underlying over a period of time. The greater the expected volatility of the applicable Underlying at the
time the terms of the Notes are set, the greater the expectation is at that time that the price of the applicable Underlying could
close below the applicable Coupon Barrier on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon
payments, or below the applicable Downside Threshold on the Final Valuation Date, resulting in the loss of a significant portion
or all of your principal at maturity. In addition, the economic terms of the Notes, including the applicable Contingent Coupon
Rate, the applicable Coupon Barrier and the applicable Downside Threshold, are based, in part, on the expected volatility of the
applicable Underlying at the time the terms of the Notes are set, where a higher expected volatility will generally be reflected
in a higher applicable Contingent Coupon Rate than the fixed rate we would pay on conventional debt securities of the same maturity
and/or on otherwise comparable securities and/or a lower applicable Coupon Barrier and/or a lower applicable Downside Threshold
as compared to otherwise comparable securities. Accordingly, a higher applicable Contingent Coupon Rate will generally be indicative
of a greater risk of loss while a lower applicable Coupon Barrier or applicable Downside Threshold does not necessarily indicate
that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity. You should
be willing to accept the downside market risk of the applicable Underlying and the potential loss of some or all of your principal
at maturity.
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Reinvestment Ris
k
— If your Notes are called
early, the holding period over which you would have the opportunity to receive any Contingent Coupons could be as short as approximately
six months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable
return and/or with a comparable interest rate for a similar level of risk in the event the Notes are called prior to the maturity
date.
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Potential Conflicts
— We and our affiliates play
a variety of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations
under the Notes and making the assumptions used to determine the pricing of the Notes and the estimated value of the Notes when
the terms of the Notes are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan
Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are
potentially adverse to your interests as an investor in the Notes. In addition, our and JPMorgan Chase & Co.’s business
activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to
be adverse to yours and could adversely affect any payment on the Notes and the value of the Notes. It is possible that hedging
or trading activities of ours or our affiliates in connection with the Notes could result in substantial returns for us or our
affiliates while the value of the Notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest”
in the accompanying product supplement for additional information about these risks. We and/or our affiliates may also currently
or from time to time engage in business with the issuer of the applicable Underlying, including extending loans to, or making equity
investments in, the issuer of the applicable Underlying or providing advisory services to the issuer of the applicable Underlying.
As a prospective purchaser of the Notes, you should undertake an independent investigation of the issuer of the applicable Underlying
as in your judgment is appropriate to make an informed decision with respect to an investment in the Notes.
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Each Contingent Coupon Is Based Solely on the Closing Price of One Share of the Applicable Underlying on the Applicable
Observation Date
— Whether a Contingent Coupon will be payable with respect to an Observation Date will be based solely
on the closing price of one share of the applicable Underlying on that Observation Date. As a result, you will not know whether
you will receive a Contingent Coupon until the related Observation Date. Moreover, because each Contingent Coupon is based solely
on the closing price of one share of the applicable Underlying on the applicable Observation Date, if that closing price is less
than the applicable Coupon Barrier, you will not receive any Contingent Coupon with respect to that Observation Date, even if the
closing price of one share of the applicable Underlying was higher on other days during the period before that Observation Date.
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Single Stock Risk
— The price of the applicable
Underlying can rise or fall sharply due to factors specific to that Underlying and its issuer, such as stock price volatility,
earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events,
as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political
conditions. For additional information regarding each Underlying and its issuer, please see “The Underlyings” and the
section applicable to that Underlying issuer in this pricing supplement and that issuer’s SEC filings referred to in those
sections. We urge you to review financial and other information filed periodically with the SEC by the applicable Underlying issuer.
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The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes
—
The estimated value of the Notes is only an estimate determined by reference to several factors. The original issue price of the
Notes will exceed the estimated value of the Notes because costs associated with selling, structuring and hedging the Notes are
included in the original issue price of the Notes. These costs include the selling commissions, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Notes and the estimated
cost of hedging our obligations under the Notes. See “The Estimated Value of the Notes” in this pricing supplement.
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The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates
— The estimated value of the Notes is determined by reference to internal pricing models of our affiliates when the terms
of the Notes are set. This estimated value of the Notes is based on market conditions and other relevant factors existing at that
time and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different
pricing models and assumptions could provide valuations for the Notes that are greater than or less than the estimated value of
the Notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the Notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and
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other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy Notes from you in secondary
market transactions. See “The Estimated Value of the Notes” in this pricing supplement.
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The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate
— The internal funding rate
used in the determination of the estimated value of the Notes is based on, among other things, our and our affiliates’ view
of the funding value of the Notes as well as the higher issuance, operational and ongoing liability management costs of the Notes
in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate
and any potential changes to that rate may have an adverse effect on the terms of the Notes and any secondary market prices of
the Notes. See “The Estimated Value of the Notes” in this pricing supplement.
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The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than
the Then-Current Estimated Value of the Notes for a Limited Time Period
— We generally expect that some of the costs
included in the original issue price of the Notes will be partially paid back to you in connection with any repurchases of your
Notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional
information relating to this initial period. Accordingly, the estimated value of your Notes during this initial period may be lower
than the value of the Notes as published by JPMS (and which may be shown on your customer account statements).
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Secondary Market Prices of the Notes Will
Likely Be Lower Than the Original Issue Price of the Notes
— Any secondary
market prices of the Notes will likely be lower than the original issue price of the Notes because, among other things, secondary
market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary
market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs
that are included in the original issue price of the Notes. As a result, the price, if any, at which JPMS will be willing to buy
Notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you
prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk factor for information
about additional factors that will impact any secondary market prices of the Notes.
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The Notes are
not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
See “— Lack of Liquidity” below.
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Many Economic and Market Factors Will Impact
the Value of the Notes
— As described under “The Estimated Value of
the Notes” in this pricing supplement, the Notes can be thought of as securities that combine a fixed-income debt component
with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments
will also influence the terms of the Notes at issuance and their value in the secondary market. Accordingly, the secondary
market price of the Notes during their term will be impacted by a number of economic and market factors, which may either offset
or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price
of the applicable Underlying, including:
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any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured debt issuances;
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the actual and expected volatility in the closing price of one share of the applicable Underlying;
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the time to maturity of the Notes;
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the likelihood of an automatic call being triggered;
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whether the closing price of one share of the applicable Underlying has been, or is expected to be, less than the applicable
Coupon Barrier on any Observation Date and whether the applicable Final Value is expected to be less than the Downside Threshold;
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the dividend rate on the applicable Underlying;
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the occurrence of certain events affecting the issuer of the applicable Underlying that may or may not require an adjustment
to the closing price and the Stock Adjustment Factor of the applicable Underlying, including a merger or acquisition;
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interest and yield rates in the market generally; and
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a variety of other economic, financial, political, regulatory and judicial events.
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Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the Notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the Notes, if any, at which JPMS may
be willing to purchase your Notes in the secondary market.
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No Dividend Payments or Voting Rights in the Applicable Underlying
— As a holder of the Notes, you will not have any ownership interest or rights in the applicable Underlying, such
as voting rights or dividend payments. In addition, the issuer of the applicable Underlying will not have any obligation to consider
your interests as a holder of the Notes in taking any corporate action that might affect the value of the applicable Underlying
and the Notes.
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No Affiliation with the Applicable Underlying Issuer
— We are not affiliated with the issuer of the applicable Underlying. We have not independently verified any of the information
about the applicable Underlying issuer contained in this pricing
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supplement. You should make your own investigation into the applicable Underlying and its issuer. We are not responsible for
the applicable Underlying issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
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No Assurances That the Investment View Implicit in the Notes Will
Be Successful
— While the Notes are structured to provide for Contingent Coupons if the applicable Underlying
does not close below the applicable Coupon Barrier on the Observation Dates, we cannot assure you of the economic environment during
the term or at maturity of your Notes.
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Lack of Liquidity
— The Notes will not be listed
on any securities exchange. JPMS intends to offer to purchase the Notes in the secondary market, but is not required to do so.
Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because
other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is
likely to depend on the price, if any, at which JPMS is willing to buy the Notes.
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Anti-Dilution Protection Is Limited and May Be Discretionary
— Although the calculation agent will adjust the closing price and the Stock Adjustment Factor of the applicable Underlying
for certain corporate events (such as stock splits and stock dividends) affecting the applicable Underlying, the calculation agent
is not required to make an adjustment for every corporate event that can affect the applicable Underlying. If an event occurs that
does not require the calculation agent to make these adjustments, the market value of your Notes, whether the Notes will be automatically
called and any payment on the Notes may be materially and adversely affected. You should also be aware that the calculation agent
may make any such adjustment, determination or calculation in a manner that differs from what is described in the accompanying
product supplement as it deems necessary to ensure an equitable result. Subject to the foregoing, the calculation agent is under
no obligation to consider your interests as a holder of the Notes in making these determinations.
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Potentially Inconsistent Research, Opinions or Recommendations by
JPMS, UBS or Their Affiliates
— JPMS, UBS or their affiliates may publish research, express opinions or provide
recommendations (for example, with respect to the issuer of the applicable Underlying) that are inconsistent with investing in
or holding the Notes, and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend
that investors buy or hold the applicable Underlying and could affect the value of the applicable Underlying, and therefore the
market value of the Notes.
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Tax Treatment
— Significant aspects of the tax
treatment of the Notes are uncertain. You should consult your tax adviser about your tax situation.
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Potential JPMorgan Financial Impact on the Market Price of the Applicable
Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the applicable Underlying and/or
over-the-counter options, futures or other instruments with returns linked to the performance of the applicable Underlying may
adversely affect the market price of the applicable Underlying and, therefore, the market value of the Notes.
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The Final Terms and Valuation of the Notes Will Be Finalized on
the Trade Date and Provided in the Pricing Supplement
— The final terms of the Notes will be based on relevant
market conditions when the terms of the Notes are set and will be finalized on the Trade Date and provided in the pricing supplement.
In particular, the estimated value of the applicable Notes will be finalized on the Trade Date and provided in the pricing supplement
and may be as low as the applicable minimum set forth on the cover of this pricing supplement. In addition, the Downside Threshold
and Coupon Barrier for each Note will be finalized on the Trade Date and provided in the pricing supplement and each may be as
high as the applicable maximum set forth on the cover of this pricing supplement. Accordingly, you should consider your potential
investment in the Notes based on the minimum for the estimated value of the applicable Notes and the maximum for the Downside Threshold
and Coupon Barrier of the applicable Notes.
|
Risks Relating to Notes Linked
to the American Depositary Shares of Teva Pharmaceutical Industries Limited
|
t
|
Risks Associated with Non-U.S. Companies
— An investment in Notes linked to the American depositary shares (which
we refer to as “ADSs”) representing interests in the ordinary shares of Teva Pharmaceutical Industries Limited (which
we refer to as “Teva”), which are issued by an Israeli issuer, involves risks associated with the home country of Teva. The
prices of securities issued by a non-U.S. company may be affected by political, economic, financial and social factors in the home
country of the non-U.S. issuer, including changes in that country’s government, economic and fiscal policies, currency exchange
laws or other laws or restrictions. Moreover, the economy of that country may differ favorably or unfavorably from the economy
of the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and
self-sufficiency. That country may be subjected to different and, in some cases, more adverse economic environments.
|
|
t
|
Currency Exchange Rate Risk
—
Because the ADSs of Teva are quoted and traded in U.S. dollars on the New
York Stock Exchange and the ordinary shares of Teva are quoted and traded in new Israeli shekels dollars on the Tel Aviv Stock
Exchange, fluctuations in the exchange rate between the new Israeli shekel and the U.S. dollar will likely affect the relative
value of the ADSs of Teva and the ordinary shares of Teva in the two currencies and, as a result, will likely affect the market
price of the ADSs of Teva trading on the New York Stock Exchange. These trading differences and currency exchange rates may
affect the market value of the applicable Notes and whether the closing price of one ADS will fall below the Coupon Barrier on
any Observation Date or below the Downside Threshold on the Final Valuation Date. The new Israeli shekel has been subject
to fluctuations against the U.S. dollar in the past and may be subject to significant fluctuations in the future. Previous
fluctuations or periods of relative stability in the exchange rate between the new Israeli shekel and the U.S. dollar is not necessarily
indicative of fluctuations or periods of relative stability in those rates that may occur over the term of the applicable Notes.
The exchange rate between the new Israeli shekel and the U.S. dollar is the result of the supply of, and the demand for,
those currencies. Changes in the exchange rates result over time from the interaction of many factors directly or indirectly affecting
economic and political conditions in Israel and the United States, including economic and political developments in other countries.
Of particular importance are rates of inflation, interest rate levels, the balance of payments, any political, civil or military
unrest and the extent of governmental surpluses or deficits in Israel and the United States, all of which are in turn sensitive
to the
|
|
|
monetary, fiscal and trade policies pursued by Israel and the United States and other jurisdictions important to international
trade and finance.
|
|
t
|
There Are Important Differences Between the Rights of Holders of ADSs of Teva and the Rights of Holders of the Ordinary
Shares of Teva
— You should be aware that the return on Notes linked to the ADSs of Teva is linked to the price
of the ADSs and not the ordinary shares of Teva. There are important differences between the rights of holders of ADSs and
the rights of holders of shares of the ordinary shares. Each ADS is a security evidenced by an American depositary receipt
that represents one ordinary share of Teva. The ADSs are issued pursuant to a deposit agreement, which sets forth the rights and
responsibilities of the ADS depositary, Teva, and holders of the ADSs, which may be different from the rights of holders of the
ordinary shares. For example, a company may make distributions in respect of the ordinary shares that are not passed on to
the holders of its ADSs. Any such differences between the rights of holders of the ADSs and the rights of holders of the
ordinary shares of Teva may be significant and may materially and adversely affect the value of the ADSs and, as a result, the
Notes linked to the ADSs of Teva.
|
The examples below illustrate the hypothetical payments on a
Coupon Payment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering
of the Notes linked to a hypothetical Underlying and assume an Initial Value of $100, a Downside Threshold and Coupon Barrier of
$80.00* (which is 80.00%* of the hypothetical Initial Value) and a Contingent Coupon Rate of 7.00% per annum. The hypothetical
Initial Value of $100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value for
any Underlying. The actual Initial Value and the resulting Downside Threshold and Coupon Barrier for each Underlying will be based
on the closing price of one share of that Underlying on the Trade Date and will be provided in the pricing supplement.** For historical
data regarding the actual closing prices of one share of each Underlying, please see the historical information set forth under
“The Underlyings” in this pricing supplement.
Principal Amount:
|
$10.00
|
Term:
|
Approximately three years (unless earlier called)
|
Hypothetical Initial Value:
|
$100.00
|
Hypothetical Contingent Coupon Rate:
|
7.00% per annum (or 1.75% per quarter)
|
Observation Dates:
|
Quarterly (callable after six months)
|
Hypothetical Downside Threshold:
|
$80.00 (which is 80.00%* of the hypothetical Initial Value)
|
Hypothetical Coupon Barrier:
|
$80.00 (which is 80.00%* of the hypothetical Initial Value)
|
*
|
The actual Downside Threshold and Coupon Barrier for each Underlying will be finalized on the Trade Date and provided in the pricing supplement. If the actual Downside Threshold and Coupon Barrier for the applicable Underlying are greater than the assumed Downside Threshold and Coupon Barrier specified above, there will be a greater possibility that the closing price of one share of that Underlying will decline below its Coupon Barrier on an Observation Date and/or its Downside Threshold on the Final Valuation Date. Accordingly, the payments on the Notes may be less than the amounts shown below.
|
**
|
The actual value of any Contingent Coupon payments you will receive over the term of the Notes, the actual value of the payment upon automatic call or at maturity and the actual Initial Value, Downside Threshold and Coupon Barrier for each Underlying applicable to your Notes may be more or less than the amounts displayed in these hypothetical scenarios. The actual Contingent Coupon Rate for each Underlying is specified on the cover of this pricing supplement.
|
The examples below are purely hypothetical and are not based
on any specific offering of Notes linked to any specific Underlying. These examples are intended to illustrate how the value of
any payment on the Notes will depend on the closing price on the Observation Dates.
Example 1 — Notes Are Automatically Called on the Second
Observation Date
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$105.00 (at or above Initial Value; Notes NOT called because Observation Date is prior to the second Observation Date)
|
$0.175 (Contingent Coupon)
|
Second Observation Date
|
$110.00 (at or above Initial Value)
|
$10.175
|
|
|
|
|
|
Total Payment:
|
$10.35 (3.50% return)
|
|
|
|
|
Although the closing price is above the Initial Value on the
first Observation Date, the Notes are not called because the Notes cannot be called before the second Observation Date. Because
the Notes are automatically called on the second Observation Date, we will pay you on the applicable Call Settlement Date a total
of $10.175 per Note, reflecting your principal amount
plus
the applicable Contingent Coupon. When that amount is added to
the Contingent Coupon payment of $0.175 received in respect of prior Observation Dates, we will have paid you a total of $10.35
per Note for a 3.50% total return on the Notes. No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Eleventh
Observation Date
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Third through Tenth Observation Dates
|
Various (all at or above Coupon Barrier, all below Initial Value)
|
$1.40 (Contingent Coupons)
|
Eleventh Observation Date
|
$105.00 (at or above Initial Value)
|
$10.175 (Payment upon Automatic Call)
|
|
|
|
|
|
Total Payment:
|
$11.925 (19.25% return)
|
|
|
|
|
Because the Notes are automatically called on the eleventh Observation
Date, we will pay you on the applicable Call Settlement Date a total of $10.175 per Note, reflecting your principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $1.75 received in respect of prior
Observation Dates, we will have paid you a total of $11.925 per Note for a 19.25% total return on the Notes. No further amounts
will be owed on the Notes.
Example 3 — Notes Are NOT Automatically Called
and
the Final Value Is at or above the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Third through Eleventh Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Final Valuation Date
|
$85.00 (at or above Downside Threshold; below Initial Value)
|
$10.175 (Payment at Maturity)
|
|
|
|
|
|
Total Payment:
|
$10.525 (5.25% return)
|
|
|
|
|
At maturity, we will pay you a total of $10.175 per Note, reflecting
your principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments
of $0.35 received in respect of prior Observation Dates, we will have paid you a total of $10.525 per Note for a 5.25% total return
on the Notes.
Example 4 — Notes Are NOT Automatically Called
and
the Final Value Is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Second Observation Date
|
$85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.175 (Contingent Coupon)
|
Third through Eleventh Observation Dates
|
Various (all at or above Coupon Barrier; all below Initial Value)
|
$1.575 (Contingent Coupons)
|
Final Valuation Date
|
$60.00 (below Downside Threshold)
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -40%) =
$10.00 × 60% =
$6.00 (Payment at Maturity)
|
|
|
|
|
|
Total Payment:
|
$7.925 (-20.75% return)
|
|
|
|
|
Because the Notes are not called and the Final Value of $60.00
is below the Downside Threshold, at maturity we will pay you $6.00 per Note. When that amount is added to the Contingent Coupon
payments of $1.925 received in respect of prior Observation Dates, we will have paid you $7.925 per Note for a loss on the Notes
of 20.75%.
Example 5 — Notes Are NOT Automatically Called
and
the Final Value is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
$65.00 (below Coupon Barrier)
|
$0.00
|
Second Observation Date
|
$60.00 (below Coupon Barrier)
|
$0.00
|
Third through Eleventh Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Final Valuation Date
|
$50.00 (below Downside Threshold)
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -50%) =
$10.00 × 50% =
$5.00 (Payment at Maturity)
|
|
|
|
|
|
Total Payment:
|
$5.00 (-50.00% return)
|
|
|
|
|
Because the Notes are not called, the Final Value is below the
Downside Threshold and the Underlying Return is -50%, at maturity we will pay you $5.00 per Note for a loss on the Notes of 50.00%.
Because there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on the Notes.
The hypothetical returns and hypothetical payments on the Notes
shown above apply
only if you hold the Notes for their entire term or until called
. These hypotheticals do not reflect fees
or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical
returns and hypothetical payments shown above would likely be lower.
Included on the following pages is a brief description of the
issuers of the Underlyings. This information has been obtained from publicly available sources, without independent verification.
Set forth below is a table that provides the quarterly high and low closing prices of one share of each Underlying. The information
given below is for the four calendar quarters in each of 2011, 2012, 2013, 2014 and 2015 and the first and second calendar quarters
of 2016. Partial data is provided for the third calendar quarter of 2016. We obtained the closing price information set forth below
from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. You should
not take the historical prices of any Underlying as an indication of future performance.
Each of the Underlyings is registered under the Securities Exchange
Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required
to file financial and other information specified by the SEC periodically. Information filed by the issuer of each Underlying with
the SEC can be reviewed electronically through a web site maintained by the SEC. The address of the SEC’s web site is http://www.sec.gov.
Information filed with the SEC by the issuer of each Underlying under the Exchange Act can be located by reference to its SEC file
number provided below. In addition, information filed with the SEC can be inspected and copied at the Public Reference Section
of the SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549. Copies of this material can also be obtained from the Public
Reference Section, at prescribed rates. We do not make any representation that these publicly available documents are accurate
or complete.
According to its publicly available filings with the SEC, Apple
Inc., which we refer to as Apple, designs, manufactures and markets mobile communication and media devices, personal computers
and portable digital music players and sells a variety of related software, services, accessories, networking solutions and third-party
digital content and applications. The common stock of Apple, par value $0.00001 per share (Bloomberg ticker: AAPL), is listed on
The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of Apple in the accompanying product supplement.
Apple’s SEC file number is 001-36743.
Historical Information Regarding the Common Stock of Apple
The following table sets forth the quarterly high and low closing
prices of one share of the common stock of Apple, based on daily closing prices on the primary exchange for Apple, as reported
by Bloomberg. The closing price of one share of the common stock of Apple on August 23, 2016 was $108.85. The actual Initial Value
will be the closing price of one share of the common stock of Apple on the Trade Date. We obtained the closing prices above and
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 price of one share of the common stock
of Apple has experienced significant fluctuations. The historical performance of the common stock of Apple should not be taken
as an indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock
of Apple during the term of the Notes. We cannot give you assurance that the performance of the common stock of Apple will result
in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2011
|
3/31/2011
|
$51.88
|
$46.67
|
$49.78
|
4/1/2011
|
6/30/2011
|
$50.44
|
$45.05
|
$47.95
|
7/1/2011
|
9/30/2011
|
$59.06
|
$49.03
|
$54.45
|
10/1/2011
|
12/31/2011
|
$60.32
|
$51.93
|
$57.86
|
1/1/2012
|
3/31/2012
|
$88.23
|
$58.75
|
$85.64
|
4/1/2012
|
6/30/2012
|
$90.89
|
$75.73
|
$83.43
|
7/1/2012
|
9/30/2012
|
$100.30
|
$82.13
|
$95.32
|
10/1/2012
|
12/31/2012
|
$95.96
|
$72.71
|
$76.15
|
1/1/2013
|
3/31/2013
|
$78.43
|
$60.01
|
$63.23
|
4/1/2013
|
6/30/2013
|
$66.26
|
$55.79
|
$56.58
|
7/1/2013
|
9/30/2013
|
$72.53
|
$58.46
|
$68.11
|
10/1/2013
|
12/31/2013
|
$81.44
|
$68.71
|
$80.16
|
1/1/2014
|
3/31/2014
|
$79.62
|
$71.35
|
$76.68
|
4/1/2014
|
6/30/2014
|
$94.25
|
$73.99
|
$92.93
|
7/1/2014
|
9/30/2014
|
$103.30
|
$93.08
|
$100.75
|
10/1/2014
|
12/31/2014
|
$119.00
|
$96.26
|
$110.38
|
1/1/2015
|
3/31/2015
|
$133.00
|
$105.99
|
$124.43
|
4/1/2015
|
6/30/2015
|
$132.65
|
$124.25
|
$125.43
|
7/1/2015
|
9/30/2015
|
$132.07
|
$103.12
|
$110.30
|
10/1/2015
|
12/31/2015
|
$122.57
|
$105.26
|
$105.26
|
1/1/2016
|
3/31/2016
|
$109.56
|
$93.42
|
$108.99
|
4/1/2016
|
6/30/2016
|
$112.10
|
$90.34
|
$95.60
|
7/1/2016
|
8/23/2016*
|
$109.48
|
$94.99
|
$108.85
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2016 includes data for the period from July 1, 2016 through August 23, 2016. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2016.
|
The graph below illustrates the daily performance of the common
stock of Apple from January 3, 2006 through August 23, 2016, based on information from Bloomberg, without independent verification.
The dotted line represents a hypothetical Downside Threshold and Coupon Barrier of $82.73, equal to 76.00% (based on the top of
the range of 71.00% to 76.00%) of the closing price on August 23, 2016. The actual Downside Threshold and Coupon Barrier will be
finalized on the Trade Date and provided in the pricing supplement based on the closing price of one share of the common stock
of Apple on the Trade Date and will not be greater than 76.00% of the Initial Value.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.
According to its publicly available filings with the SEC, Anthem,
Inc., which we refer to as Anthem, is a health benefits company that offers a spectrum of network-based managed care plans to large
and small employer, individual, Medicaid and Medicare markets. In addition, Anthem provides an array of managed care services
to self-funded customers, including claims processing, underwriting, stop loss insurance, actuarial services, provider network
access, medical cost management, disease management, wellness programs and other administrative services. Anthem provides
an array of specialty and other insurance products and services such as dental, vision, life and disability insurance benefits,
radiology benefit management and analytics-driven personal health care. Anthem also provides services to the federal government
in connection with the Federal Employee Program. The common stock of Anthem, par value $0.01 per share (Bloomberg ticker: ANTM),
is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Anthem in the accompanying
product supplement. Anthem’s SEC file number is 001-16751.
Historical Information Regarding the Common Stock of Anthem
The following table sets forth the quarterly high and low closing
prices of one share of the common stock of Anthem, based on daily closing prices on the primary exchange for Anthem, as reported
by Bloomberg. The closing price of one share of the common stock of Anthem on August 23, 2016 was $129.12. The actual Initial Value
will be the closing price of one share of the common stock of Anthem on the Trade Date. We obtained the closing prices above and
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 price of one share of the common stock
of Anthem has experienced significant fluctuations. The historical performance of the common stock of Anthem should not be taken
as an indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock
of Anthem during the term of the Notes. We cannot give you assurance that the performance of the common stock of Anthem will result
in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2011
|
3/31/2011
|
$69.79
|
$57.95
|
$69.79
|
4/1/2011
|
6/30/2011
|
$81.78
|
$68.06
|
$78.77
|
7/1/2011
|
9/30/2011
|
$80.79
|
$57.01
|
$65.28
|
10/1/2011
|
12/31/2011
|
$70.75
|
$62.32
|
$66.25
|
1/1/2012
|
3/31/2012
|
$73.80
|
$63.84
|
$73.80
|
4/1/2012
|
6/30/2012
|
$72.95
|
$63.79
|
$63.79
|
7/1/2012
|
9/30/2012
|
$63.20
|
$52.93
|
$58.01
|
10/1/2012
|
12/31/2012
|
$63.03
|
$54.33
|
$60.92
|
1/1/2013
|
3/31/2013
|
$66.28
|
$58.93
|
$66.23
|
4/1/2013
|
6/30/2013
|
$81.84
|
$67.18
|
$81.84
|
7/1/2013
|
9/30/2013
|
$89.26
|
$81.09
|
$83.61
|
10/1/2013
|
12/31/2013
|
$93.92
|
$83.60
|
$92.39
|
1/1/2014
|
3/31/2014
|
$100.97
|
$84.25
|
$99.55
|
4/1/2014
|
6/30/2014
|
$108.82
|
$92.00
|
$107.61
|
7/1/2014
|
9/30/2014
|
$124.17
|
$107.29
|
$119.62
|
10/1/2014
|
12/31/2014
|
$129.16
|
$111.06
|
$125.67
|
1/1/2015
|
3/31/2015
|
$158.38
|
$123.26
|
$154.41
|
4/1/2015
|
6/30/2015
|
$171.04
|
$150.93
|
$164.14
|
7/1/2015
|
9/30/2015
|
$165.22
|
$136.31
|
$140.00
|
10/1/2015
|
12/31/2015
|
$148.81
|
$127.86
|
$139.44
|
1/1/2016
|
3/31/2016
|
$144.17
|
$117.22
|
$138.99
|
4/1/2016
|
6/30/2016
|
$147.52
|
$124.85
|
$131.34
|
7/1/2016
|
8/23/2016*
|
$142.94
|
$125.56
|
$129.12
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2016 includes data for the period from July 1, 2016 through August 23, 2016. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2016.
|
The graph below illustrates the daily performance of the common
stock of Anthem from January 3, 2006 through August 23, 2016, based on information from Bloomberg, without independent verification.
The dotted line represents a hypothetical Downside Threshold and Coupon Barrier of $96.84, equal to 75.00% (based on the top of
the range of 70.00% to 75.00%) of the closing price on August 23, 2016. The actual Downside Threshold and Coupon Barrier will be
finalized on the Trade Date and provided in the pricing supplement based on the closing price of one share of the common stock
of Anthem on the Trade Date and will not be greater than 75.00% of the Initial Value.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.
Teva Pharmaceutical Industries Limited
|
According to its publicly available filings with the SEC, Teva
Pharmaceutical Industries Limited, which we refer to as Teva, is an Israeli pharmaceutical company that develops, produces and
markets generic medicines and a portfolio of specialty medicines. The American depositary shares (which we refer to as “ADSs”),
each representing one ordinary share (Bloomberg ticker: TEVA), are listed on the New York Stock Exchange, which we refer to as
the relevant exchange for purposes of Teva in the accompanying product supplement. TEVA’s SEC file number is 001-16174.
Historical Information Regarding the ADSs of Teva
The following table sets forth the quarterly high and low closing
prices of one ADS of Teva, based on daily closing prices on the primary exchange for Teva, as reported by Bloomberg. The closing
price of one ADS of Teva on August 23, 2016 was $53.20. The actual Initial Value will be the closing price of one ADS of Teva on
the Trade Date. We obtained the closing prices above and 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 price of one ADS of Teva has experienced
significant fluctuations. The historical performance of the ADSs of Teva should not be taken as an indication of future performance,
and no assurance can be given as to the closing prices of one ADS of Teva during the term of the Notes. We cannot give you assurance
that the performance of the ADSs of Teva will result in the return of any of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2011
|
3/31/2011
|
$56.29
|
$47.37
|
$50.17
|
4/1/2011
|
6/30/2011
|
$50.90
|
$45.01
|
$48.22
|
7/1/2011
|
9/30/2011
|
$49.47
|
$35.26
|
$37.22
|
10/1/2011
|
12/31/2011
|
$42.72
|
$35.85
|
$40.36
|
1/1/2012
|
3/31/2012
|
$46.09
|
$43.06
|
$45.06
|
4/1/2012
|
6/30/2012
|
$45.87
|
$37.74
|
$39.44
|
7/1/2012
|
9/30/2012
|
$42.34
|
$39.25
|
$41.41
|
10/1/2012
|
12/31/2012
|
$42.52
|
$36.95
|
$37.34
|
1/1/2013
|
3/31/2013
|
$41.06
|
$37.19
|
$39.68
|
4/1/2013
|
6/30/2013
|
$40.23
|
$37.80
|
$39.20
|
7/1/2013
|
9/30/2013
|
$41.27
|
$37.43
|
$37.78
|
10/1/2013
|
12/31/2013
|
$41.70
|
$36.59
|
$40.08
|
1/1/2014
|
3/31/2014
|
$52.84
|
$39.88
|
$52.84
|
4/1/2014
|
6/30/2014
|
$54.06
|
$48.69
|
$52.42
|
7/1/2014
|
9/30/2014
|
$55.05
|
$50.94
|
$53.75
|
10/1/2014
|
12/31/2014
|
$58.72
|
$49.86
|
$57.51
|
1/1/2015
|
3/31/2015
|
$62.65
|
$54.93
|
$62.30
|
4/1/2015
|
6/30/2015
|
$67.14
|
$58.91
|
$59.10
|
7/1/2015
|
9/30/2015
|
$72.00
|
$55.08
|
$56.46
|
10/1/2015
|
12/31/2015
|
$66.32
|
$55.96
|
$65.64
|
1/1/2016
|
3/31/2016
|
$65.86
|
$53.50
|
$53.51
|
4/1/2016
|
6/30/2016
|
$57.25
|
$48.53
|
$50.23
|
7/1/2016
|
8/23/2016*
|
$55.45
|
$49.97
|
$53.20
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2016 includes data for the period from July 1, 2016 through August 23, 2016. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2016.
|
The graph below illustrates the daily performance of the ADS
of Teva from January 3, 2006 through August 23, 2016, based on information from Bloomberg, without independent verification. The
dotted line represents a hypothetical Downside Threshold and Coupon Barrier of $36.97, equal to 69.50% (based on the top of the
range of 64.50% to 69.50%) of the closing price on August 23, 2016. The actual Downside Threshold and Coupon Barrier will be finalized
on the Trade Date and provided in the pricing supplement based on the closing price of one ADS of Teva on the Trade Date and will
not be greater than 69.50% of the Initial Value.
Past performance of the Underlying is not indicative of
the future performance of the Underlying.