The Trigger PLUS offered will pay no interest and do not guarantee
any return of your principal at maturity. At maturity, if the underlying index has
appreciated
in value, investors
will receive the stated principal amount of their investment plus leveraged upside performance of the underlying index. If
the underlying index has declined in value but the final index value is greater than or equal to the trigger level, investors will
receive the stated principal amount of the Trigger PLUS at maturity. However, if the underlying index has
declined
in value so that the final index value is less than the trigger level, at maturity investors will lose a significant portion or
all of their investment, resulting in a 1% loss for every 1% decline in the closing level of the underlying index over the term
of the Trigger PLUS. The Trigger PLUS are for investors who seek an equity-based return and who are willing to risk
their principal and forgo current income in exchange for the leverage feature. 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 closing level of
the underlying index on the valuation date
.
The Trigger PLUS are unsecured and unsubordinated obligations of
JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally
guaranteed by JPMorgan Chase & Co., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program.
Any
payment on the Trigger PLUS is subject to the credit risk of JPMorgan Financial, as issuer of the Trigger PLUS, and the credit
risk of JPMorgan Chase & Co., as guarantor of the Trigger PLUS.
SUMMARY
TERMS
|
Issuer:
|
JPMorgan Chase Financial Company LLC
|
Guarantor:
|
JPMorgan Chase & Co.
|
Underlying index:
|
EURO STOXX 50
®
Index
|
Aggregate principal amount:
|
$
|
Payment at maturity:
|
If the final index value is
greater than
the initial index value, for each $10 stated principal amount Trigger PLUS:
|
|
$10 + leveraged upside payment
|
|
If the final index value is
less than or equal to
the initial index value but is greater than or equal to the trigger level, for each $10 stated principal amount Trigger PLUS:
|
|
$10
|
|
If the final index value is
less than
the trigger level, for each $10 stated principal amount Trigger PLUS:
|
|
$10 × index performance factor
|
|
This amount will be less than the stated principal amount of $10 per Trigger PLUS and will represent a loss of more than 35%, and possibly all, of your investment.
|
Leveraged upside payment:
|
$10 × leverage factor × index percent increase
|
Index percent increase:
|
(final index value – initial index value) / initial index value
|
Initial index value:
|
The closing level of the underlying index on the pricing date
|
Final index value:
|
The closing level of the underlying index on the valuation date
|
Trigger level:
|
65%
|
Leverage factor:
|
At least 185%
.
The actual leverage factor will be provided in the pricing supplement and will not be less than 185%.
|
Index performance factor:
|
final index value / initial index value
|
Stated principal amount:
|
$10 per Trigger PLUS
|
Issue price:
|
$10 per Trigger PLUS (see “Commissions and issue price” below)
|
Pricing date:
|
September , 2016 (expected to price on or about September 30, 2016)
|
Original issue date (settlement date):
|
October , 2016 (3 business days after the pricing date)
|
Valuation date:
|
September 30, 2022, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” in the accompanying product supplement
|
Maturity date:
|
October 5, 2022, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
CUSIP / ISIN:
|
46646X498 / US46646X4988
|
Listing:
|
The Trigger PLUS will not be listed on any securities exchange.
|
Commissions and issue price:
|
)
|
Per Trigger PLUS
|
Price to public
(1)
|
Fees and commissions
|
Proceeds to issuer
|
|
$10.00
|
$0.30
(2)
|
$9.65
|
Total
|
$
|
$0.05
(3)
|
|
|
(1)
|
See “Additional Information about the Trigger
PLUS — Supplemental use of proceeds and hedging” in this document for information about the components of the price
to public of the Trigger PLUS.
|
|
(2)
|
JPMS, acting as agent for JPMorgan Financial, will
pay all of the selling commissions it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). In
no event will these selling commissions exceed $0.30 per $10 stated principal amount Trigger PLUS. See “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement.
|
|
(3)
|
Reflects a structuring fee payable to Morgan Stanley
Wealth Management by the agent or its affiliates of $0.05 for each $10 stated principal amount Trigger PLUS.
|
If the Trigger PLUS priced today, the estimated value of the
Trigger PLUS would be approximately $9.858 per $10 stated principal amount Trigger PLUS. The estimated value of the
Trigger PLUS on the pricing date will be provided in the pricing supplement and will not be less than $9.50 per $10 stated principal
amount Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated value of the Trigger
PLUS” in this document for additional information.
Investing in the Trigger 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 6 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Trigger 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 Trigger 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 Trigger 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
Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Investment Summary
Trigger Performance Leveraged Upside Securities
Principal at Risk Securities
The Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022 (the “Trigger PLUS”) can be used:
|
§
|
As an alternative to direct exposure to the underlying index that enhances returns for any positive performance of the underlying
index.
|
|
§
|
To potentially achieve similar levels of upside exposure to the underlying index as a direct investment, while using fewer
dollars by taking advantage of the leverage factor.
|
|
§
|
To provide limited market downside protection against loss of principal in the event of a decline of the underlying index but
only if the final index value is
greater than or equal to
the trigger level.
|
Maturity:
|
Approximately 6 years
|
Leverage factor:
|
At least 185% (to be provided in the pricing supplement)
|
Trigger level:
|
65% of the initial index value
|
Minimum payment at maturity:
|
None. Investors may lose their entire initial investment in the Trigger PLUS.
|
|
|
Supplemental Terms of the Trigger PLUS
For purposes of the accompanying
product supplement, the underlying index is an “Index.”
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Key Investment Rationale
Trigger 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. In
exchange for enhanced returns from any positive performance of the asset, investors are exposed to the risk of loss or some or
all of their investment due to the trigger feature. At maturity, if the underlying asset has appreciated, investors
will receive the stated principal amount of their investment plus leveraged upside performance of the underlying asset. At
maturity, if the underlying asset has depreciated but is at or above the trigger level, investors will receive the stated principal
amount of their investment. At maturity, if the underlying asset has depreciated below the trigger level, investors
are fully exposed to the negative performance of the underlying asset.
Investors may lose some or all of the stated
principal amount of the Trigger PLUS.
Leveraged
Performance
|
The Trigger PLUS offer investors an opportunity to capture enhanced returns for any of positive performance relative to a direct investment in the underlying index.
|
Trigger
Feature
|
At maturity, even if the underlying index has declined over the term of the Trigger PLUS, investors will receive their stated principal amount but only if the final index value is
greater than or equal to
the trigger level.
|
Upside
Scenario
|
The underlying index increases in value and, at maturity, the
Trigger PLUS pay the stated principal amount of $10 plus a return equal to at least 185% of the index percent increase. The
actual leverage factor will be provided in the pricing supplement.
|
Par
Scenario
|
The final index value is less than or equal to the initial index value but is greater than or equal to the trigger level. In this case, the Trigger PLUS pay the stated principal amount of $10 per Trigger PLUS at maturity even when the underlying index has depreciated.
|
Downside
Scenario
|
The final index value is less than the trigger level. In this case, the Trigger PLUS pay an amount that is over 35% less than the stated principal amount and this decrease will be by an amount that is proportionate to the percentage decline of the final index value from the initial index value. (Example: if the underlying index decreases in value by 40%, the Trigger PLUS will pay an amount that is less than the stated principal amount by 60%, or $6 per Trigger PLUS.)
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
How the Trigger PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the Trigger PLUS based on the following terms:
Stated principal amount:
|
$10 per Trigger PLUS
|
Hypothetical leverage factor:
|
185% (which represents the lowest hypothetical leverage factor)*
|
Trigger level
|
65% of the initial index value
|
*The actual leverage factor will be provided in the
pricing supplement and will not be less than 185%.
Trigger PLUS Payoff Diagram
|
|
How it works
|
§
|
Upside Scenario.
Under the
hypothetical terms of the Trigger PLUS, if the final index value is greater than the initial index value, for each $10 principal
amount Trigger PLUS investors will receive the $10 stated principal amount
plus
a return equal to 185% of the appreciation
of the underlying index over the term of the Trigger PLUS.
|
|
§
|
For example, if the underlying index appreciates 5%, investors will receive a 9.25% return, or $10.925 per Trigger PLUS.
|
|
§
|
Par Scenario.
If the final
index value is less than or equal to the initial index value but is greater than or equal to the trigger level, investors will
receive the stated principal amount of $10 per Trigger PLUS.
|
|
§
|
For example, if the underlying index depreciates 5%, investors will receive the $10 stated principal amount.
|
|
§
|
Downside Scenario.
If the
final index value is less than the trigger level, investors will receive an amount that is significantly less than the stated principal
amount by an amount proportionate to the percentage decrease of the final index value from the initial index value.
|
|
§
|
For example, if the underlying index depreciates 50%, investors will lose 50% of their principal and receive only $5.00 per
Trigger PLUS at maturity, or 50% of the stated principal amount.
|
The hypothetical returns and hypothetical payments
on the Trigger PLUS shown above apply
only if you hold the Trigger PLUS for their entire term.
These hypotheticals
do not reflect fees or expenses that would be
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
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
Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022
Trigger 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 Trigger 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 Trigger PLUS.
|
§
|
Trigger PLUS do not pay interest or guarantee the return of any
principal and your investment in the Trigger PLUS may result in a loss.
The terms of the Trigger PLUS differ
from those of ordinary debt securities in that the Trigger PLUS do not pay interest or guarantee the payment of any principal amount
at maturity. If the final index value is less than the trigger level (which is 65% of the initial index value), the
payment at maturity will be an amount in cash that is over 35% less than the stated principal amount of each Trigger PLUS, and
this decrease will be by an amount that is proportionate to the decrease in the value of the underlying index and may be zero. There
is no minimum payment at maturity on the Trigger PLUS, and, accordingly, you could lose your entire initial investment in the Trigger
PLUS.
|
|
§
|
The Trigger 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 Trigger PLUS.
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the Trigger 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 Trigger 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
Trigger 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 Trigger
PLUS. If these affiliates do not make payments to us and we fail to make payments on the Trigger 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 Trigger 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 Trigger PLUS, including acting as calculation
agent and as an agent of the offering of the Trigger PLUS, hedging our obligations under the Trigger PLUS and making the assumptions
used to determine the pricing of the Trigger PLUS and the estimated value of the Trigger PLUS, which we refer to as the estimated
value of the Trigger 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 Trigger PLUS. The calculation agent will determine the initial index value, the trigger level and the final index
value and will calculate the amount of payment you will receive at maturity, if any. Determinations made by the calculation
agent, including with respect to the occurrence or non-occurrence of market disruption events, the selection of a successor to
the underlying index or calculation of the final index value in the event of a discontinuation or material change in method of
calculation of the underlying index, may affect the payment to you at maturity.
|
In
addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our
and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the Trigger
PLUS and the value of the Trigger PLUS. It is possible that hedging or trading activities of ours or our affiliates
in connection with the Trigger PLUS could result in substantial returns for us or our affiliates while the value of the Trigger
PLUS declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement for additional information about these risks.
|
§
|
The benefit provided by the trigger level may terminate on the valuation
date.
If the final index value is less than the trigger level, the benefit provided
by the trigger level will terminate and you will be fully exposed to any depreciation of the underlying index.
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
§
|
The estimated value of the Trigger PLUS will be lower than the original
issue price (price to public) of the Trigger PLUS.
The estimated value of the
Trigger PLUS is only an estimate determined by reference to several factors. The original issue price of the Trigger
PLUS will exceed the estimated value of the Trigger PLUS because costs associated with selling, structuring and hedging the Trigger
PLUS are included in the original issue price of the Trigger 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 Trigger PLUS and the estimated cost of hedging our obligations under the Trigger PLUS. See “Additional
Information about the Trigger PLUS — The estimated value of the Trigger PLUS” in this document.
|
|
§
|
The estimated value of the Trigger PLUS does not represent future
values of the Trigger PLUS and may differ from others’ estimates. The estimated value of the Trigger PLUS is determined
by reference to internal pricing models of our affiliates.
This estimated value
of the Trigger 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 Trigger PLUS that are greater than or less than the estimated value of
the Trigger 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 Trigger 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 Trigger PLUS from you in secondary
market transactions. See “Additional Information about the Trigger PLUS — The estimated value of the Trigger
PLUS” in this document.
|
|
§
|
The estimated value of the Trigger PLUS is derived by reference
to an internal funding rate.
The internal funding rate used in the determination
of the estimated value of the Trigger PLUS is based on, among other things, our and our affiliates’ view of the funding value
of the Trigger PLUS as well as the higher issuance, operational and ongoing liability management costs of the Trigger 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 Trigger PLUS
and any secondary market prices of the Trigger PLUS. See “Additional Information about the Trigger PLUS —
The estimated value of the Trigger PLUS” in this document.
|
|
§
|
The value of the Trigger 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 Trigger PLUS for a limited
time period.
We generally expect that some of the costs included in the original
issue price of the Trigger PLUS will be partially paid back to you in connection with any repurchases of your Trigger 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 Trigger PLUS —
Secondary market prices of the Trigger PLUS” in this document for additional information relating to this initial period. Accordingly,
the estimated value of your Trigger PLUS during this initial period may be lower than the value of the Trigger PLUS as published
by JPMS (and which may be shown on your customer account statements).
|
|
§
|
Secondary market prices of the Trigger PLUS will likely be lower than the original issue price of the Trigger PLUS
.
Any
secondary market prices of the Trigger PLUS will likely be lower than the original issue price of the Trigger 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 Trigger PLUS. As
a result, the price, if any, at which JPMS will be willing to buy Trigger 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 Trigger PLUS.
|
The Trigger PLUS are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your Trigger PLUS
to maturity. See “— Secondary trading may be limited” below.
|
§
|
Secondary market prices of the Trigger PLUS will be impacted by
many economic and market factors.
The secondary market price of the Trigger PLUS during their term will be
impacted by a number
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
of economic and market factors,
which may either offset or magnify each other, aside from the selling commissions, structuring fee, projected hedging profits,
if any, estimated hedging costs and the closing level of the underlying index, 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 index;
|
|
o
|
the time to maturity of the Trigger PLUS;
|
|
o
|
the dividend rates on the equity securities included in the underlying index;
|
|
o
|
interest and yield rates in the market generally;
|
|
o
|
the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the
equity securities included in the underlying index trade and the correlation among those rates and the levels of the underlying
index; and
|
|
o
|
a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the Trigger PLUS, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the Trigger PLUS, if any, at which JPMS
may be willing to purchase your Trigger PLUS in the secondary market.
|
§
|
Investing in the Trigger PLUS is not equivalent to investing in
the underlying index.
Investing in the Trigger PLUS is not equivalent to investing
in the underlying index or its component stocks. Investors in the Trigger 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 the underlying index.
|
|
§
|
Adjustments to the underlying index could adversely affect the value
of the Trigger PLUS.
The underlying index publisher may discontinue or suspend
calculation or publication of the 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 the discontinued underlying index and is not precluded
from considering indices that are calculated and published by the calculation agent or any of its affiliates.
|
|
§
|
The Trigger PLUS are subject to risks associated with securities
issued by non-U.S. companies.
The equity securities included in the underlying
index have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity
securities involve risks associated with 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, and generally non-U.S.
companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different
from those applicable to U.S. reporting companies.
|
|
§
|
The Trigger PLUS are not directly exposed to fluctuations in foreign
exchange rates.
The value of your Trigger PLUS will not be adjusted for exchange rate fluctuations
between the U.S. dollar and the currencies upon which the equity securities included in the underlying index are based, although
any currency fluctuations could affect the performance of the underlying index. Therefore, if the applicable currencies
appreciate or depreciate relative to the U.S. dollar over the term of the Trigger PLUS, you will not receive any additional payment
or incur any reduction in any payment on the Trigger PLUS.
|
|
§
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the
Trigger
PLUS
.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty
with respect to the
Trigger PLUS
on
or prior to the pricing date and prior to maturity could adversely affect the value of the underlying index and, as a result, could
decrease the amount an investor
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
may
receive on the Trigger PLUS at maturity if any. Any of these hedging or trading activities
on or prior to the
pricing date could potentially affect the initial index value and the trigger level and, therefore, could potentially increase
the level that the final index value must reach before you receive a payment at maturity that exceeds the issue price of the
Trigger
PLUS or so that you do not suffer a loss on your initial investment in the Trigger PLUS
. Additionally, these
hedging or trading activities during the term of the
Trigger
PLUS
, including on the valuation date, could adversely affect the final index value and, accordingly, the amount of cash
an investor will receive at maturity if any. It is possible that these hedging or trading activities could result in
substantial returns for us or our affiliates while the value of the Trigger PLUS declines.
|
§
|
Secondary trading may be limited.
Th
e
Trigger PLUS will not be listed on a securities exchange. There may be little or no secondary market for the Trigger
PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Trigger
PLUS easily
. JPMS
may act as a market
maker for the Trigger 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 Trigger PLUS, the price at which you may be able to trade your Trigger PLUS is likely
to depend on the price, if any, at which
JPMS
is willing to buy the Trigger 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 Trigger
PLUS.
|
|
§
|
The final terms and valuation of the Trigger PLUS will be provided in the pricing
supplement.
The final terms of the Trigger PLUS will be provided in the pricing supplement. In
particular, each of the estimated value of the Trigger PLUS and the leverage factor will be provided in the pricing supplement
and each may be as low as the applicable minimum set forth on the cover of this document. Accordingly, you should consider
your potential investment in the Trigger PLUS based on the minimums for the estimated value of the Trigger PLUS and the leverage
factor.
|
|
§
|
The tax consequences of an investment in the Trigger PLUS are uncertain.
There is no direct legal authority
as to the proper U.S. federal income tax characterization of the Trigger 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 Trigger PLUS described in “Additional
Information about the Trigger 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 Trigger PLUS, the timing and character of any income or loss on the Trigger 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 Trigger
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 Trigger PLUS, including possible alternative treatments and the issues presented by this
notice.
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
EURO STOXX 50
®
Index Overview
The EURO STOXX 50
®
Index consists of 50 component
stocks of market sector leaders from within the Eurozone. For additional information about the EURO STOXX 50
®
Index, see the information set forth under “Equity Index Descriptions ― The EURO STOXX 50
®
Index”
in the accompanying underlying supplement.
Information as of market close on August 25, 2016:
Bloomberg Ticker Symbol:
|
SX5E
|
Current Closing Level:
|
2,987.69
|
52 Weeks Ago (on 8/25/2015):
|
3,218.01
|
52 Week High (on 11/30/2016):
|
3,506.45
|
52 Week Low (on 2/11/2016):
|
2,680.35
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the underlying index for each quarter in the period from January 1, 2011 through
August 25, 2016. The graph following the table sets forth the daily closing levels of the underlying index during the
same period. The closing level of the underlying index on August 25, 2016 was 2,987.69. We obtained the closing
level information above and in the table and graph below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The historical levels of the underlying index should not be taken as an indication
of future performance, and no assurance can be given as to the closing level of the underlying index on the valuation date. The
payment of dividends on the stocks that constitute the underlying index are not reflected in its closing level and, therefore,
have no effect on the calculation of the payment at maturity.
EURO STOXX 50
®
Index
|
High
|
Low
|
Period End
|
2011
|
|
|
|
First Quarter
|
3,068.00
|
2,721.24
|
2,910.91
|
Second Quarter
|
3,011.25
|
2,715.88
|
2,848.53
|
Third Quarter
|
2,875.67
|
1,995.01
|
2,179.66
|
Fourth Quarter
|
2,476.92
|
2,090.25
|
2,316.55
|
2012
|
|
|
|
First Quarter
|
2,608.42
|
2,286.45
|
2,477.28
|
Second Quarter
|
2,501.18
|
2,068.66
|
2,264.72
|
Third Quarter
|
2,594.56
|
2,151.54
|
2,454.26
|
Fourth Quarter
|
2,659.95
|
2,427.32
|
2,635.93
|
2013
|
|
|
|
First Quarter
|
2,749.27
|
2,570.52
|
2,624.02
|
Second Quarter
|
2,835.87
|
2,511.83
|
2,602.59
|
Third Quarter
|
2,936.20
|
2,570.76
|
2,893.15
|
Fourth Quarter
|
3,111.37
|
2,902.12
|
3,109.00
|
2014
|
|
|
|
First Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
Second Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
Third Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
Fourth Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
2015
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
2016
|
|
|
|
First Quarter
|
3,178.01
|
2,680.35
|
3,004.93
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
Third Quarter (through August 25, 2016)
|
3,049.03
|
2,761.37
|
2,987.69
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the EURO STOXX 50
®
Index due October 5, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
EURO STOXX
50
®
Index Historical Performance – Daily Closing Levels
January 3,
2011 to August 25, 2016
|
|
License Agreement.
The EURO STOXX 50
®
Index and STOXX
®
are the intellectual property
(including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which
are used under license. The securities based on the EURO STOXX 50
®
Index are in no way sponsored, endorsed,
sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors shall have any liability
with respect thereto. See “Equity Index Descriptions — The EURO STOXX 50
®
Index — License
Agreement” in the accompanying underlying supplement.