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JPMorgan Chase Financial Company LLC
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November 2016
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Pricing Supplement
Registration Statement Nos.
333-209682
and
333-209682-01
Dated November 30, 2016
Filed pursuant to Rule 424(b)(2)
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STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due December 5, 2018
All Payments on the Securities Based on the Worst Performing of the
NASDAQ-100
Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index Principal at Risk Securities
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Contingent Income Auto-Callable Securities do not guarantee the payment of interest or the repayment of principal. Instead, the securities offer the opportunity for
investors to earn a contingent quarterly payment equal to 2.1625% of the stated principal amount with respect to each determination date on which the closing level of each of the
NASDAQ-100
Index
®
,
the Russell 2000
®
Index and the S&P 500
®
Index
is
greater than or equal to
75% of its initial index value, which we refer to as a downside threshold level. However, if, on any determination date, the closing level of
any
underlying index is less than its downside threshold level,
you will not receive any contingent quarterly payment for the related quarterly period. In addition, if the closing level of
each
underlying index is greater than or equal to its initial index value on any determination date (other than
the final determination date), the securities will be automatically redeemed for an amount per security equal to the stated principal amount
plus
the contingent quarterly payment. If the securities have not been automatically redeemed
prior to maturity and the final index value of
each
underlying index is greater than or equal to its downside threshold level, the payment at maturity due on the securities will be the stated principal amount and the contingent quarterly
payment with respect to the final determination date. If, however, the securities have not been automatically redeemed prior to maturity and the final index value of
any
underlying index is less than its downside threshold level, you
will be exposed to the decline in the worst performing of the underlying indices, as compared to its initial index value, on a
1-to-1
basis and will receive a cash
payment at maturity that is less than 75% of the stated principal amount of the securities and could be zero. The securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially
above-market rate in exchange for the risk of receiving few or no contingent quarterly payments and also the risk of receiving a cash payment at maturity that is significantly less than the stated principal amount of the securities and could be
zero.
Accordingly, investors could lose their entire initial investment in the securities
. Because all payments on the securities are based on the worst performing of the underlying indices, a decline beyond the downside threshold level
of any underlying index will result in few or no contingent quarterly payments and/or significant loss of your initial investment, even if the other underlying indices appreciate or have not declined as much. Investors will not participate in
any appreciation of any underlying index. The securities are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by
JPMorgan Chase & Co., issued as part of JPMorgan Financials Medium-Term Notes, Series A, program.
Any payment on the securities is subject to the credit risk of JPMorgan Financial, as issuer of the securities, and the credit risk
of JPMorgan Chase
& Co., as guarantor of the securities.
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FINAL TERMS
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Issuer:
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JPMorgan Chase Financial Company LLC
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Guarantor:
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JPMorgan Chase & Co.
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Underlying indices:
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NASDAQ-100
Index
®
, Russell 2000
®
Index (the RTY
Index) and S&P 500
®
Index (the SPX Index) (each an underlying index)
|
Aggregate principal amount:
|
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$6,344,000
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Early redemption:
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|
If, on any of the determination dates (other than the final determination date), the closing level of each underlying index is
greater than or equal to
its initial index value, the securities will be automatically redeemed for an early redemption payment on the first contingent payment date immediately following the related determination date. No further payments
will be made on the securities once they have been redeemed.
The securities will not be
redeemed early on any contingent payment date if the closing level of any underlying index is below its initial index value on the related determination date.
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Early redemption payment:
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The early redemption payment will be an amount equal to (i) the stated principal amount
plus
(ii) the contingent quarterly payment with respect to the related determination date.
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Contingent quarterly payment:
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If, on any determination date, the closing level of each underlying index is
greater than or equal to its downside threshold level, we will pay a contingent quarterly payment of $21.625 (2.1625% of the stated principal amount) per security on the related contingent payment date.
If, on any determination date, the closing level of
any
underlying index is less than its downside
threshold level, no contingent quarterly payment will be payable with respect to that determination date. It is possible that one or more of the underlying indices will remain below their respective downside threshold levels for extended periods of
time or even throughout the entire term of the securities so that you will receive few or no contingent quarterly payments.
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Payment at maturity:
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If the final index value of
each
underlying index is
greater than
or equal to
its downside threshold level:
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(i) the stated principal amount,
plus
(ii) the contingent quarterly payment with respect to the final determination date
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If the final index value of
any
underlying index is less than its
downside threshold level:
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(i) the stated principal amount
times
(ii) the index performance factor of the worst performing underlying index. This cash payment will be less than 75% of the stated principal amount of the securities and could be
zero.
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Downside threshold level:
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With respect to the NDX Index: 3,608.1105, which is equal to 75% of its initial index value
With respect to the RTY Index: 991.75425, which is equal to 75% of its initial index value
With respect to the SPX Index:1,649.1075, which is equal to 75% of its
initial index value
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Stated principal amount:
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$1,000 per security
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Issue price:
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$1,000 per security (see Commissions and issue price below)
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Pricing date:
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November 30, 2016
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Original issue date (settlement date):
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December 5, 2016
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Maturity date:
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December 5, 2018, subject to postponement in the event of certain market disruption events and as described under General Terms of Notes Postponement of a Payment Date in the accompanying
product supplement
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Terms continued on the following page
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Agent:
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J.P. Morgan Securities LLC (JPMS)
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Commissions and issue price:
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Price to public
(1)
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Fees and commissions
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Proceeds to issuer
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Per security
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$1,000.00
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$15.00
(2)
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$980.00
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$5.00
(3)
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Total
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$6,344,000.00
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$126,880.00
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$6,217,120.00
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(1)
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See Additional Information about the Securities Supplemental use of proceeds and hedging in this document for information about the components of the price to public of the securities.
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(2)
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JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $15.00 per $1,000 stated principal amount security it receives from us to Morgan Stanley Smith Barney LLC (Morgan Stanley
Wealth Management). See Plan of Distribution (Conflicts of Interest) in the accompanying product supplement.
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(3)
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Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each $1,000 stated principal amount security
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The estimated value of the securities on the pricing date was $968.70 per $1,000 stated principal amount security.
See
Additional Information about the Securities The estimated value of the securities in this document for additional information.
Investing
in the securities involves a number of risks. See Risk Factors beginning on page
PS-10
of the accompanying product supplement, Risk Factors beginning on page
US-2
of the accompanying underlying supplement and Risk Factors beginning on page 9 of this document.
Neither the
Securities and Exchange Commission (the SEC) nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this document or the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
The securities are not bank deposits, are
not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should
read this document together with the related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see Additional Information about the
Securities at the end of this document.
Product supplement no.
MS-1-I
dated June
3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
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
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
Terms continued from previous page:
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Initial index value:
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With respect to the NDX Index: 4,810.814, which is its closing level on the pricing date
With respect to the RTY Index: 1,322.339, which is its closing level on the pricing date
With respect to the SPX Index: 2,198.81, which is its closing level on the pricing date
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Final index value:
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With respect to each underlying index, the closing level on the final determination date
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Worst performing underlying index:
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The underlying index with the worst index performance factor
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Index performance factor:
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With respect to each underlying index, the final index value
divided by
the initial index value
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Determination dates:
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February 28, 2017, May 30, 2017, August 30, 2017, November 30, 2017, February 28, 2018, May 30, 2018, August 30, 2018 and November 30, 2018, subject to postponement for
non-trading
days and certain market disruption events.
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Contingent payment dates:
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With respect to each determination date other than the final determination date, the third business day after the related determination date. The payment of the contingent quarterly payment, if any, with respect to the
final determination date will be made on the maturity date.
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CUSIP/ISIN:
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46646QAV7 / US46646QAV77
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Listing:
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The securities will not be listed on any securities exchange.
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JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
Investment Summary
The Contingent Income Auto-Callable
Securities due December 5, 2018 Based on the Worst Performing of the
NASDAQ-100
Index
®
, Russell
2000
®
Index and the S&P 500
®
Index, which we refer to as the securities, do not provide for the regular payment of interest.
Instead, the securities provide an opportunity for investors to earn a contingent quarterly payment, which is an amount equal to $21.625 (2.1625% of the stated principal amount) per security, with respect to each quarterly determination date on
which the closing level of each underlying index is greater than or equal to 75% of its initial index value, which we refer to as a downside threshold level. The contingent quarterly payment, if any, will be payable quarterly on the relevant
contingent payment date, which is the third business day after the related determination date or, in the case of the contingent quarterly payment, if any, with respect to the final determination date, the maturity date. However, if the closing level
of any underlying index is less than its downside threshold level on any determination date, investors will receive no contingent quarterly payment for the related quarterly period. It is possible that the closing level of one or more underlying
indices could be below their respective downside threshold levels on most or all of the determination dates so that you will receive few or no contingent quarterly payments during the term of the securities. We refer to these payments as contingent,
because there is no guarantee that you will receive a payment on any contingent payment date. Even if all of the underlying indices were to be at or above their respective downside threshold levels on some quarterly determination dates, one or more
underlying indices may fluctuate below their respective downside threshold level(s) on others.
If the closing level of each underlying index is greater than or
equal to its initial closing value on any determination date (other than the final determination date), the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount
plus
the contingent
quarterly payment with respect to the related determination date. If the securities have not previously been redeemed and the final index value of each underlying index is greater than or equal to its downside threshold level, the payment at
maturity will be the sum of the stated principal amount and the contingent quarterly payment with respect to the final determination date. However, if the securities have not previously been redeemed and the final index value of any underlying index
is less than its downside threshold level, investors will be exposed to the decline in the worst performing underlying index, as compared to its initial index value, on a
1-to-1
basis. Under these circumstances, the payment at maturity will be (i) the stated principal amount
times
(ii) the index performance factor of the
worst performing underlying index, which will be less than 75% of the stated principal amount of the securities and could be zero. Investors in the securities must be willing to accept the risk of losing their entire principal and also the risk of
receiving few or no contingent quarterly payments over the term of the securities. In addition, investors will not participate in any appreciation of the underlying indices.
Supplemental Terms of the Securities
For purposes of
the accompanying product supplement, each underlying index is an Index.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
Key Investment Rationale
The securities do not provide
for the regular payment of interest. Instead, the securities offer investors an opportunity to earn a contingent quarterly payment equal to 2.1625% of the stated principal amount with respect to each determination date on which the closing level of
each underlying index is
greater than or equal to
75% of its initial index value, which we refer to as a downside threshold level. The securities may be redeemed prior to maturity for the stated principal amount per security
plus
the
applicable contingent quarterly payment, and the payment at maturity will vary depending on the final index value of each underlying index, as follows:
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Scenario 1
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This scenario assumes that, prior to early redemption, each underlying index closes at or above its downside threshold
level on some determination dates but one or more of the underlying indices closes below their respective downside threshold levels on the others. On the 6
th
determination date, the closing level
of each underlying index is greater than or equal to its initial index value.
Investors receive the contingent quarterly payment for the quarterly periods in which the closing level of each underlying index is at or above its downside threshold
level on the related determination date.
On the contingent payment date immediately following
the 6
th
determination date, the securities will be automatically redeemed for the stated principal amount
plus
the contingent quarterly payment with respect to the related determination
date.
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Scenario 2
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This scenario assumes that each underlying index closes at or above its downside threshold level on some determination
dates but one or more of the underlying indices closes below their respective downside threshold levels on the others, and each underlying index closes below its initial index value on all the determination dates prior to the final determination
date. On the final determination date, each underlying index closes at or above its downside threshold level.
Consequently, the securities are not automatically redeemed, and investors receive a contingent quarterly payment for the quarterly periods in which the closing level
of each underlying index is at or above its downside threshold level on the related determination date. At maturity, investors will receive the stated principal amount and the contingent quarterly payment with respect to the final determination
date.
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Scenario 3
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This scenario assumes that each underlying index closes at or above its downside threshold level on some determination
dates but one or more of the underlying indices closes below their respective downside threshold levels on the others, and each underlying index closes below its initial index value on all the determination dates prior to the final determination
date. On the final determination date, one or more of the underlying indices close below their downside threshold levels.
Consequently, the securities are not automatically redeemed, and investors receive a contingent quarterly payment for the quarterly periods in which the closing level
of each underlying index is at or above its downside threshold level on the related determination date. At maturity, investors will receive the stated principal amount
times
the index performance factor of the worst performing underlying
index, which will be less than 75% of the stated principal amount and could be zero.
Investors
will lose some and may lose all of their principal in this scenario.
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JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
How the Securities Work
The following diagrams
illustrate the potential outcomes for the securities depending on (1) the closing levels and (2) the final index value.
Diagram #1: Determination Dates (Other Than the Final Determination Date)
Diagram #2: Payment at Maturity if No Automatic Early Redemption Occurs
For more information about the payment upon an early redemption or at maturity in different hypothetical scenarios, see
Hypothetical Examples starting on page 6.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
Hypothetical Examples
The following hypothetical
examples illustrate how to determine whether a contingent quarterly payment is payable with respect to a determination date, whether the securities will be automatically redeemed on any determination date prior to the final determination date and
how to calculate the payment at maturity if the securities have not been redeemed early. The following examples are for illustrative purposes only. Whether you receive a contingent quarterly payment or whether the securities will be automatically
redeemed will be determined by reference to the closing level of each underlying index on each quarterly determination date and the amount you will receive at maturity, if any, will be determined by reference to the final index value of each
underlying index. The actual initial index value and downside threshold level for each underlying index are specified on the cover of this pricing supplement. Any payment on the securities is subject to our and JPMorgan Chase & Co.s
credit risks. The numbers in the hypothetical examples below may have been rounded for the ease of analysis. The examples below are based on the following assumed terms:
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Contingent quarterly payment:
|
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A contingent quarterly payment of $21.625 per quarter per security will be paid on the securities on each contingent payment date
but only if
the closing level of each underlying index is at or above its downside
threshold level on the related determination date.
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Early redemption:
|
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If the closing level of each underlying index is
greater than or equal to
its initial index value on any quarterly determination date (other than the final determination date), the securities will be automatically redeemed
for an early redemption payment equal to the stated principal amount plus the contingent quarterly payment with respect to the related determination date.
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Payment at maturity (if the securities have not been automatically redeemed early):
|
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If the final index value of each
underlying index is
greater than or equal to
its downside threshold level: the stated principal
amount and the contingent quarterly payment with respect to the final determination date
If the final index value of any
underlying index is less than
its downside threshold level: (i) the stated principal amount
times
(ii) the index performance factor of the worst performing underlying index
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Stated principal amount:
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$1,000 per security
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Hypothetical initial index value:
|
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With respect to the NDX Index: 4,800.00
With respect to the
RTY Index: 1,300.00
With respect to the SPX Index: 2,200.00
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Hypothetical downside threshold level:
|
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With respect to the NDX Index: 3,600.00, which is 75% of the hypothetical initial index value for such index
With respect to the RTY Index: 975.00, which is 75% of the hypothetical initial index value for such index
With respect to the SPX Index: 1,650.00, which is 75% of the hypothetical initial index value for such index
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JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
How to determine whether a contingent quarterly payment is payable with respect to a determination date:
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Closing level
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Contingent quarterly
payment
|
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NDX Index
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RTY Index
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SPX Index
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Hypothetical
Determination Date 1
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4,000
(
at or
above
downside threshold level)
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1,050
(
at or
above
downside threshold level)
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1,800
(
at or above
downside threshold level)
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$21.625
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Hypothetical
Determination Date 2
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2,500
(
below
downside threshold level)
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1,100
(
at or
above
downside threshold level)
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1,400
(
below
downside
threshold level)
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$0
|
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Hypothetical
Determination Date 3
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3,800
(
at or
above
downside threshold level)
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800
(
below
downside threshold level)
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1,400
(
below
downside threshold level)
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$0
|
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Hypothetical
Determination Date 4
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1,500
(
below
downside threshold level)
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700
(
below
downside threshold level)
|
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1,300
(
below
downside threshold level)
|
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$0
|
On hypothetical determination date 1, each underlying index closes at or above its downside threshold level. Therefore, a contingent
quarterly payment of $21.625 is payable on the relevant contingent payment date.
On each of the hypothetical determination dates 2 and 3, one underlying index
closes at or above its downside threshold level but the other underlying indices close below their respective downside threshold levels. Therefore, no contingent quarterly payment is payable on the relevant contingent payment date.
On hypothetical determination date 4, each underlying index closes below its downside threshold level and, accordingly, no contingent quarterly payment is payable on
the relevant contingent payment date.
You will not receive a contingent quarterly payment on any contingent payment date if the closing level of any underlying
index is below its downside threshold level on the related determination date.
How to determine whether the securities will be
automatically redeemed on any determination date prior to the final determination date:
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Closing level
|
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Early Redemption
Payment
|
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NDX Index
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RTY Index
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SPX Index
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Hypothetical
Determination Date 1
|
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4,900
(
at or
above
initial
index value)
|
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800
(
below
initial index value)
|
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1,500
(
below
initial index value)
|
|
n/a
(securities are not
redeemed early)
|
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Hypothetical
Determination Date 2
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|
2,500
(
below
initial index value)
|
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700
(
below
initial index value)
|
|
1,500
(
below
initial index value)
|
|
n/a
(securities are not
redeemed early)
|
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Hypothetical
Determination Date 3
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5,000
(
at or
above
initial
index value)
|
|
1,600
(
at or
above
initial
index value)
|
|
2,400
(
at or
above
initial
index value)
|
|
$1,021.625
(the stated
principal amount
plus
the contingent quarterly payment with respect to the related determination date)
|
On hypothetical determination date 1, one underlying index closes at or above its initial index value but the other underlying indices
close below their respective initial index values. Therefore, the securities remain outstanding and are not redeemed early.
On hypothetical determination date 2,
each underlying index closes below its initial index value. Therefore, the securities remain outstanding and are not redeemed early.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
On hypothetical determination date 3, each underlying index closes at or above its initial index value. Therefore, the securities are automatically redeemed and you
receive an early redemption payment equal to the stated principal amount
plus
the contingent quarterly payment with respect to the related determination date. No further payments will be made on the securities once they have been redeemed.
How to calculate the payment at maturity (if the securities have not been automatically redeemed early):
|
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|
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Final Index Value
|
|
Payment at Maturity
|
|
|
NDX Index
|
|
RTY Index
|
|
SPX Index
|
|
|
|
|
|
|
|
Example 1:
|
|
3,800
(
at or
above
downside
threshold level)
|
|
1,100
(
at or
above
downside threshold level)
|
|
1,800
(
at or
above
downside threshold level)
|
|
$1,021.625
(the stated
principal amount
plus
the contingent quarterly payment with respect to the final determination date)
|
|
|
|
|
|
Example 2:
|
|
4,500
(
at or
above
downside threshold level)
|
|
800
(
below
downside threshold level)
|
|
1,100
(
below
downside threshold level)
|
|
$1,000 × index performance factor of the worst performing underlying index =
$1,000 × (1,100 / 2,200) = $500.00
|
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|
Example 3:
|
|
2,500
(
below
downside threshold level)
|
|
520
(
below
downside threshold level)
|
|
1,000
(
below
downside threshold level)
|
|
$1,000× (520 / 1,300) = $400.00
|
|
|
|
|
|
Example 4:
|
|
1,440
(
below
downside threshold level)
|
|
600
(
below
downside threshold level)
|
|
1,200
(
below
downside threshold level)
|
|
$1,000 × (1,440 / 4,800) = $300.00
|
In example 1, the final index value of each underlying index is at or above its downside threshold level. Therefore, you receive at
maturity the stated principal amount of the securities and the contingent quarterly payment with respect to the final determination date.
In example 2, the final
index value of one underlying index is at or above its downside threshold level but the final index values of the other underlying indices are below their respective downside threshold levels. Therefore, you are exposed to the downside performance
of the worst performing underlying index at maturity and receive a cash payment at maturity equal to the stated principal amount
times
the index performance factor of the worst performing underlying index.
Similarly, in examples 3 and 4, the final index value of each underlying index is below its downside threshold level, and you receive a cash payment at maturity equal
to the stated principal amount
times
the index performance factor of the worst performing underlying index.
If the final index value of ANY underlying
index is below its downside threshold level, you will be exposed to the downside performance of the worst performing underlying index at maturity, and your payment at maturity will be less than 75% of the stated principal amount per security and
could be zero.
The hypothetical returns and hypothetical payments on the securities shown above apply
only if you hold the securities for their entire term
or until early redemption.
These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown
above would likely be lower.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
Risk Factors
The following is a
non-exhaustive
list of certain key risk factors for investors in the securities. For further discussion of these and other risks, you should read the 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 securities.
§
|
|
The securities do not guarantee the return of any principal and your investment in the securities may result in a loss.
The terms of the securities differ from those of ordinary debt securities in that the
securities do not guarantee the return of any of the principal amount at maturity. Instead, if the securities have not been automatically redeemed prior to maturity and if the final index value of
any
of the underlying indices is less than
its downside threshold level, you will be exposed to the decline in the closing level of the worst performing underlying index, as compared to its initial index value, on a
1-to-1
basis. Under these circumstances, you will receive for each security that you hold at maturity a cash payment equal to the stated principal amount
times
the index performance factor of the worst performing underlying index.
In this case, your payment at maturity will be less than 75% of the stated principal amount and could be zero.
|
§
|
|
You will not receive any contingent quarterly payment for any quarterly period where the closing level of any underlying index on the relevant determination date is less than its downside threshold level.
The
terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the payment of regular interest. Instead, a contingent quarterly payment will be made with respect to a quarterly period only if the
closing level of each underlying index on the relevant determination date is greater than or equal to its downside threshold level. If the closing level of any underlying index is below its downside threshold level on any determination date, you
will not receive a contingent quarterly payment for the relevant quarterly period. It is possible that the closing level of each underlying index could be below its downside threshold level on most or all of the determination dates so that you will
receive few or no contingent quarterly payments. If you do not earn sufficient contingent quarterly payments over the term of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional debt
security of the issuer of comparable maturity.
|
§
|
|
The contingent quarterly payment is based solely on the closing levels of the underlying indices on the specified determination dates.
Whether the contingent quarterly payment will be made with respect to a
determination date will be based on the closing level of each underlying index on that determination date. As a result, you will not know whether you will receive the contingent quarterly payment until the related determination date. Moreover,
because the contingent quarterly payment is based solely on the closing level of each underlying index on a specific determination date, if the closing level of any of the underlying indices on that determination date is below its downside threshold
level, you will not receive any contingent quarterly payment with respect to that determination date, even if the closing level of that underlying index was higher on other days during the related quarterly period.
|
§
|
|
You are exposed to the price risk of all three underlying indices, with respect to all the contingent quarterly payments, if any, and the payment at maturity, if any.
Your return on the securities is not linked
to a basket consisting of the underlying indices. Rather, it will be contingent upon the independent performance of each underlying index. Unlike an instrument with a return linked to a basket of underlying assets in which risk is mitigated and
diversified among all the components of the basket, you will be exposed to the risks related to each underlying index. The performance of the underlying indices may not be correlated. Poor performance by
any
underlying index over the term of
the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the other underlying indices. Accordingly, your investment is subject to the risk of decline in the closing level of each underlying
index.
|
To receive
any
contingent quarterly payments,
each
underlying index must close at or above its downside
threshold level on the applicable determination date. In addition, if
any
underlying index has declined to below its downside threshold level as of the final determination date, you will be
fully exposed
to the decline in the worst
performing underlying index, as compared to its initial index value, on a
1-to-1
basis, even if the other underlying indices have appreciated. Under this scenario, the
value of any such payment will be less than 75% of the stated principal amount and could be zero.
§
|
|
Because the securities are linked to the performance of the worst performing underlying index, you are exposed to
greater risks of no contingent quarterly payments and sustaining a significant loss on your
investment than if the securities were linked to just one underlying index.
The risk that you will not receive any contingent quarterly payments,
or that you will suffer a significant loss on your investment is greater if you invest in the securities than if you invest in substantially similar securities that are linked to the performance of just one underlying index. With three underlying
indices, it is more likely that any one underlying index will close
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
|
below its downside threshold level on any determination date than if the securities were linked to only one underlying index. In addition, you will not benefit from the performance of any underlying index other than the worst
performing underlying index. Therefore it is more likely that you will not receive any contingent quarterly payments and that you will suffer a significant loss on your investment.
|
§
|
|
The securities are subject to the credit risks of JPMorgan Financial and JPMorgan Chase
& Co., and any actual or anticipated changes to our or JPMorgan Chase
& Co.s
credit ratings or credit spreads may adversely affect the market value of the securities.
Investors are dependent on our and JPMorgan Chase & Co.s ability to pay all amounts due on the securities. Any actual or anticipated decline
in our or JPMorgan Chase & Co.s credit ratings or increase in our or JPMorgan Chase & Co.s credit spreads determined by the market for taking that credit risk is likely to adversely affect the market value of the
securities. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the securities and you could lose your entire investment.
|
§
|
|
As a finance subsidiary, JPMorgan Financial has no independent operations and has limited assets.
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance
and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us or other
intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the securities. If these affiliates do not make payments to us and we fail to make payments on the securities, you may have to
seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
§
|
|
Investors will not participate in any appreciation in any underlying index.
Investors will not participate in any appreciation in any underlying index from its initial index value, and the return on the
securities will be limited to the contingent quarterly payment that is paid with respect to each determination date on which the closing level of each underlying index is greater than or equal to its downside threshold level, if any.
|
§
|
|
The securities are subject to risks associated with securities issued by
non-U.S.
companies, with respect to the NDX Index.
Some of the equity securities included in the
NDX Index have been issued by
non-U.S.
companies. Investments in securities linked to the value of
non-U.S.
equity securities involve risk associated with the home
countries of the issuers of those
non-U.S.
equity securities. The prices of
non-U.S.
equity securities may be adversely affected by political, economic, financial
and social factors in the home countries of the issuers of the
non-U.S.
companies, including changes in those countries government, economic and fiscal policies, currency exchange laws or other laws or
restrictions.
|
§
|
|
An investment in the securities is subject to risks associated with small capitalization stocks with respect to the RTY Index.
The stocks that constitute the RTY Index are issued by companies with relatively
small market capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive
conditions relative to larger companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure under adverse market
conditions.
|
§
|
|
Early redemption risk.
The term of your investment in the securities may be limited to as short as approximately three months by the automatic early redemption feature of the securities. If the securities are
redeemed prior to maturity, you will receive no more contingent quarterly payments and may be forced to reinvest in a lower interest rate environment and may not be able to reinvest the proceeds from an investment in the securities at a comparable
return for a similar level of risk.
|
§
|
|
Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the securities and
other affiliates of the issuer may be different from those of investors.
We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and as an agent of the offering of
the securities, hedging our obligations under the securities and making the assumptions used to determine the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value of the securities. In
performing these duties, our and JPMorgan Chase & Co.s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities. The
calculation agent has determined the initial index values and the downside threshold levels and will determine the final index values and whether the closing level of each underlying index on any determination date is greater than or equal to its
initial index value or is below its downside threshold level. Determinations made by the calculation agent, including with respect to the occurrence
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
|
or
non-occurrence
of market disruption events, may affect the payment to you at maturity or whether the securities are redeemed early.
|
In addition, JPMorgan Chase & Co. is currently one of the companies that make up the SPX Index. JPMorgan Chase & Co. will not have any
obligation to consider your interests as a holder of the securities in taking any corporate action that might affect the value of the SPX Index or the securities.
Moreover, our and JPMorgan Chase & Co.s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.s economic interests to be adverse to yours and could adversely affect any payment on the securities and the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection
with the securities could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer to Risk Factors Risks Relating to Conflicts of Interest in the accompanying product
supplement for additional information about these risks.
§
|
|
The estimated value of the securities is lower than the original issue price (price to public) of the securities.
The estimated value of the securities is only an estimate determined by reference to several
factors. The original issue price of the securities exceeds the estimated value of the securities because costs associated with selling, structuring and hedging the securities are included in the original issue price of the securities. These costs
include the selling commissions, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations
under the securities. See Additional Information about the Securities The estimated value of the securities in this document.
|
§
|
|
The estimated value of the securities does not represent future values of the securities and may differ from others estimates. The estimated value of the securities is determined by reference to internal
pricing models of our affiliates.
This estimated value of the securities is based on market conditions and other relevant factors existing at the time of pricing and assumptions about market parameters, which can include volatility, dividend
rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the securities that are greater than or less than the estimated value of the securities. In addition, market conditions and other relevant
factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the securities could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy securities from you in secondary market transactions. See Additional Information about
the Securities The estimated value of the securities in this document.
|
§
|
|
The estimated value of the securities is derived by reference to an internal funding rate.
The internal funding rate used in the determination of the estimated value of the securities is based on, among other
things, our and our affiliates view of the funding value of the securities as well as the higher issuance, operational and ongoing liability management costs of the securities in comparison to those costs for the conventional fixed-rate debt
of JPMorgan Chase & Co. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the securities and any secondary market prices of the securities. See Additional Information
about the Securities The estimated value of the securities in this document.
|
§
|
|
The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.
We
generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline to zero over an initial
predetermined period. These costs can include selling commissions, the structuring fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt
issuances. See Additional Information about the Securities Secondary market prices of the securities in this document for additional information relating to this initial period. Accordingly, the estimated value of your securities
during this initial period may be lower than the value of the securities as published by JPMS (and which may be shown on your customer account statements).
|
§
|
|
Secondary market prices of the securities will likely be lower than the original issue price of the securities.
Any
secondary market prices of the securities will likely be lower than the original issue price of the securities because, among other things, secondary market prices take into account our internal secondary market funding rates for structured debt
issuances and, also, because secondary market prices (a) exclude selling commissions and the structuring fee and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in the original issue price
of the securities. As a result, the price, if any, at which JPMS will be willing to buy securities from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the maturity date
could result in a substantial loss to you. See the
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
|
immediately following risk factor for information about additional factors that will impact any secondary market prices of the securities.
|
The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
See Secondary trading may be limited below.
§
|
|
Secondary market prices of the securities will be impacted by many economic and market factors.
The secondary market price of the securities during their term will be impacted by a number of economic and
market factors, which may either offset or magnify each other, aside from the selling commissions, structuring fee, projected hedging profits, if any, estimated hedging costs and the closing level of each underlying index, including:
|
|
¡
|
|
any actual or potential change in our or JPMorgan Chase & Co.s creditworthiness or credit spreads;
|
|
¡
|
|
customary
bid-ask
spreads for similarly sized trades;
|
|
¡
|
|
our internal secondary market funding rates for structured debt issuances;
|
|
¡
|
|
the actual and expected volatility in the closing level of each underlying index;
|
|
¡
|
|
the time to maturity of the securities;
|
|
¡
|
|
whether the closing level of any underlying index has been, or is expected to be, less than its downside threshold level on any determination date;
|
|
¡
|
|
the likelihood of an early redemption being triggered;
|
|
¡
|
|
the dividend rates on the equity securities included in the underlying indices;
|
|
¡
|
|
the actual and expected positive or negative correlation between the underlying indices, or the actual or expected absence of any such correlation;
|
|
¡
|
|
interest and yield rates in the market generally; and
|
|
¡
|
|
a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the securities, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the securities, if any,
at which JPMS may be willing to purchase your securities in the secondary market.
§
|
|
Investing in the securities is not equivalent to investing in any underlying index.
Investing in the securities is not equivalent to investing in any underlying index or its component stocks. Investors
in the securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute any underlying index.
|
§
|
|
Adjustments to any underlying index could adversely affect the value of the securities.
The underlying index publisher of any underlying index may discontinue or suspend calculation or publication of that
underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable to 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.
|
§
|
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the securities.
The hedging or trading activities of the issuers affiliates and of any other hedging
counterparty with respect to the securities on or prior to the pricing date and prior to maturity could have adversely affected, and may continue to adversely affect, the closing levels of the underlying indices. Any of these hedging or trading
activities on or prior to the pricing date could have affected the initial index values and, as a result, the downside threshold levels, which are the respective levels at or above which the underlying indices must close on each determination date
in order for you to earn a contingent quarterly payment or, if the securities are not called prior to maturity, in order for you to avoid being exposed to the negative price performance of the worst performing underlying index at maturity.
Additionally, these hedging or trading activities during the term of the securities could potentially affect the values of the underlying indices on the determination dates and, accordingly, whether investors will receive one or more contingent
quarterly payments, whether the securities are automatically redeemed prior to maturity and, if the securities are not called prior to maturity, the payment to you at maturity. It is possible that these hedging or trading activities could result in
substantial returns for us or our affiliates while the value of the securities declines.
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
§
|
|
Secondary trading may be limited.
The securities will not be listed on a securities exchange. There may be little or no secondary market for the securities. Even if there is a secondary market, it may not provide
enough liquidity to allow you to trade or sell the securities easily. JPMS may act as a market maker for the securities, but is not required to do so. Because we do not expect that other market makers will participate significantly in the secondary
market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which JPMS is willing to buy the securities. If at any time JPMS or another agent does not act as a market maker, it
is likely that there would be little or no secondary market for the securities.
|
§
|
|
The U.S. federal income tax consequences of an investment in the securities are uncertain.
There is no direct legal authority as to the proper U.S. federal income tax treatment of the securities, and we do not
intend to request a ruling from the IRS. The IRS might not accept, and a court might not uphold, the treatment of the securities as prepaid forward contracts with associated contingent coupons, as described in Additional Information about the
Securities Additional Provisions Tax considerations in this document and in Material U.S. Federal Income Tax Consequences in the accompanying product supplement. If the IRS were successful in asserting an alternative
treatment for the securities, the timing and character of any income or loss on the securities could be materially affected. Although the U.S. federal income tax treatment of contingent quarterly payments (including any contingent quarterly payments
paid in connection with an early redemption or at maturity) is uncertain, in determining our reporting responsibilities we intend (in the absence of an administrative determination or judicial ruling to the contrary) to treat any contingent
quarterly payments as ordinary income. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of prepaid forward contracts and similar instruments. The notice focuses in
particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should review carefully the section entitled Material U.S. Federal Income
Tax Consequences in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the issues presented by
this notice.
|
Non-U.S.
Holders Tax Consideration.
The U.S. federal income tax
treatment of contingent quarterly payments is uncertain, and although we believe it is reasonable to take a position that contingent quarterly payments are not subject to U.S. withholding tax (at least if an applicable Form
W-8
is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from
your securities is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). In the event of any withholding, we
will not be required to pay any additional amounts with respect to amounts so withheld. If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the
securities in light of your particular circumstances.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
NASDAQ-100
Index
®
Overview
The
NASDAQ-100
Index
®
is a modified market capitalization-weighted index of 100 of the largest
non-financial
securities
listed on The NASDAQ Stock Market based on market capitalization. For additional information about the
NASDAQ-100
Index
®
, see the information set forth
under Equity Index Descriptions The
NASDAQ-100
Index
®
in the accompanying underlying supplement.
Information as of market close on November 30, 2016:
|
|
|
|
|
|
|
Bloomberg Ticker Symbol:
|
|
NDX
|
|
52 Week High (on 10/24/2016):
|
|
4,909.969
|
|
|
|
|
Current Closing Level:
|
|
4,810.814
|
|
52 Week Low (on 2/9/2016):
|
|
3,947.804
|
|
|
|
|
52 Weeks Ago (on 11/30/2015):
|
|
4,664.510
|
|
|
|
|
The following table sets forth the published high and low closing levels, as well as
end-of-quarter
closing levels, of the
NASDAQ-100
®
Index for each quarter in the period from January 1,
2011 through November 30, 2016. The graph following the table sets forth the daily closing levels of the
NASDAQ-100
®
Index during the same period.
The closing level of the
NASDAQ-100
®
Index on November 30, 2016 was 4,810.814. We obtained the closing level information above and the information
in the table and graph below from the Bloomberg Professional
®
service (Bloomberg), without independent verification. The historical levels of the
NASDAQ-100
®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the
NASDAQ-100
®
Index at any time, including on the determination dates. The payment of dividends on the stocks that constitute the
NASDAQ-100
®
Index are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
|
|
|
|
|
|
|
|
|
NASDAQ-100
Index
®
|
|
High
|
|
Low
|
|
Period End
|
|
2011
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
2,397.940
|
|
2,202.970
|
|
|
2,338.990
|
|
Second
Quarter
|
|
2,413.590
|
|
2,192.960
|
|
|
2,325.070
|
|
Third
Quarter
|
|
2,429.500
|
|
2,038.220
|
|
|
2,139.180
|
|
Fourth
Quarter
|
|
2,401.290
|
|
2,085.040
|
|
|
2,277.830
|
|
2012
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
2,782.120
|
|
2,321.960
|
|
|
2,755.270
|
|
Second
Quarter
|
|
2,784.420
|
|
2,458.830
|
|
|
2,615.720
|
|
Third
Quarter
|
|
2,864.033
|
|
2,545.300
|
|
|
2,799.193
|
|
Fourth
Quarter
|
|
2,828.599
|
|
2,524.356
|
|
|
2,660.931
|
|
2013
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
2,818.690
|
|
2,700.967
|
|
|
2,818.690
|
|
Second
Quarter
|
|
3,028.957
|
|
2,741.949
|
|
|
2,909.599
|
|
Third
Quarter
|
|
3,237.611
|
|
2,927.346
|
|
|
3,218.198
|
|
Fourth
Quarter
|
|
3,591.996
|
|
3,142.535
|
|
|
3,591.996
|
|
2014
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
3,727.185
|
|
3,440.502
|
|
|
3,595.736
|
|
Second
Quarter
|
|
3,849.479
|
|
3,446.845
|
|
|
3,849.479
|
|
Third
Quarter
|
|
4,103.083
|
|
3,857.938
|
|
|
4,049.445
|
|
Fourth
Quarter
|
|
4,337.785
|
|
3,765.281
|
|
|
4,236.279
|
|
2015
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
4,483.049
|
|
4,089.648
|
|
|
4,333.688
|
|
Second
Quarter
|
|
4,548.740
|
|
4,311.257
|
|
|
4,396.761
|
|
Third
Quarter
|
|
4,679.675
|
|
4,016.324
|
|
|
4,181.060
|
|
Fourth
Quarter
|
|
4,719.053
|
|
4,192.963
|
|
|
4,593.271
|
|
2016
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
4,497.857
|
|
3,947.804
|
|
|
4,483.655
|
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
|
|
|
|
|
|
|
NASDAQ-100
Index
®
|
|
High
|
|
Low
|
|
Period End
|
Second
Quarter
|
|
4,565.421
|
|
4,201.055
|
|
4,417.699
|
Third
Quarter
|
|
4,891.363
|
|
4,410.747
|
|
4,875.697
|
Fourth Quarter
(through November 30, 2016)
|
|
4,909.969
|
|
4,660.457
|
|
4,810.814
|
*The dotted line in the graph indicates the downside threshold level, equal to 75% initial index
value.
License Agreement.
JPMorgan Chase & Co. or its affiliate has entered into a
non-exclusive
license
agreement with The NASDAQ OMX Group, Inc. providing for the license to it and certain of its affiliates or subsidiaries, including JPMorgan Financial, with a
non-exclusive
license and, for a fee, with the
right to use the
NASDAQ-100
Index
®
in connection with certain securities, including the notes. For more information, see Equity Index Descriptions
The NASDAQ 100 Index
®
License Agreement in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
Russell 2000
®
Index Overview
The Russell 2000
®
Index consists of the middle 2,000 companies included in the Russell 3000E
TM
Index and, as a result of the index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000
®
Index.
The Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000
®
Index, see the information set forth under Equity Index Descriptions The Russell Indices in the accompanying underlying supplement.
Information as of market close on November 30, 2016:
|
|
|
|
|
|
|
Bloomberg Ticker Symbol:
|
|
RTY
|
|
52 Week High (on 11/25/2016):
|
|
1,347.203
|
|
|
|
|
Current Closing Level:
|
|
1,322.339
|
|
52 Week Low (on 2/11/2016):
|
|
953.715
|
|
|
|
|
52 Weeks Ago (on 11/30/2015):
|
|
1,198.111
|
|
|
|
|
The following table sets forth the published high and low closing levels, as well as
end-of-quarter
closing levels, of the Russell 2000
®
Index for each quarter in the period from January 1, 2011 through November 30, 2016. The
graph following the table sets forth the daily closing levels of the Russell 2000
®
Index during the same period. The closing level of the Russell 2000
®
Index on November 30, 2016 was 1,322.339. We obtained the closing level information above and the information in the table and graph below from Bloomberg, without independent verification.
The historical levels of the Russell 2000
®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Russell 2000
®
Index at any time, including on the determination dates. The payment of dividends on the stocks that constitute the Russell 2000
®
Index
are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
|
|
|
|
|
|
|
|
|
Russell
2000
®
Index
|
|
High
|
|
Low
|
|
Period End
|
|
2011
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
843.549
|
|
773.184
|
|
|
843.549
|
|
Second
Quarter
|
|
865.291
|
|
777.197
|
|
|
827.429
|
|
Third
Quarter
|
|
858.113
|
|
643.421
|
|
|
644.156
|
|
Fourth
Quarter
|
|
765.432
|
|
609.490
|
|
|
740.916
|
|
2012
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
846.129
|
|
747.275
|
|
|
830.301
|
|
Second
Quarter
|
|
840.626
|
|
737.241
|
|
|
798.487
|
|
Third
Quarter
|
|
864.697
|
|
767.751
|
|
|
837.450
|
|
Fourth
Quarter
|
|
852.495
|
|
769.483
|
|
|
849.350
|
|
2013
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
953.068
|
|
872.605
|
|
|
951.542
|
|
Second
Quarter
|
|
999.985
|
|
901.513
|
|
|
977.475
|
|
Third
Quarter
|
|
1,078.409
|
|
989.535
|
|
|
1,073.786
|
|
Fourth
Quarter
|
|
1,163.637
|
|
1,043.459
|
|
|
1,163.637
|
|
2014
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
1,208.651
|
|
1,093.594
|
|
|
1,173.038
|
|
Second
Quarter
|
|
1,192.964
|
|
1,095.986
|
|
|
1,192.964
|
|
Third
Quarter
|
|
1,208.150
|
|
1,101.676
|
|
|
1,101.676
|
|
Fourth
Quarter
|
|
1,219.109
|
|
1,049.303
|
|
|
1,204.696
|
|
2015
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
1,266.373
|
|
1,154.709
|
|
|
1,252.772
|
|
Second
Quarter
|
|
1,295.799
|
|
1,215.417
|
|
|
1,253.947
|
|
Third
Quarter
|
|
1,273.328
|
|
1,083.907
|
|
|
1,100.688
|
|
Fourth
Quarter
|
|
1,204.159
|
|
1,097.552
|
|
|
1,135.889
|
|
2016
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
1,114.028
|
|
953.715
|
|
|
1,114.028
|
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
|
|
|
|
|
|
|
Russell
2000
®
Index
|
|
High
|
|
Low
|
|
Period End
|
Second
Quarter
|
|
1,188.954
|
|
1,089.646
|
|
1,151.923
|
Third
Quarter
|
|
1,190.033
|
|
1,139.453
|
|
1,190.033
|
Fourth Quarter
(through November 30, 2016)
|
|
1,347.203
|
|
1,156.885
|
|
1,322.339
|
*The dotted line in the graph indicates the downside threshold level, equal to 75% of the initial
index value.
License Agreement.
The Russell 2000
®
Index is a trademark of FTSE Russell
and has been licensed for use by JPMorgan Chase & Co. and certain of its affiliates. For more information, see Equity Index Descriptions The Russell Indices Disclaimers in the accompanying underlying
supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
S&P 500
®
Index Overview
The S&P 500
®
Index, which is calculated, maintained and published by S&P Dow Jones Indices LLC,
consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information on the S&P 500
®
Index, see the information set forth
under Equity Index Descriptions The S&P U.S. Indices in the accompanying underlying supplement.
Information as of market close on
November 30, 2016:
|
|
|
|
|
|
|
Bloomberg Ticker Symbol:
|
|
SPX
|
|
52 Week High (on 11/25/2016):
|
|
2,213.35
|
|
|
|
|
Current Closing Level:
|
|
2,198.81
|
|
52 Week Low (on 2/11/2016):
|
|
1,829.08
|
|
|
|
|
52 Weeks Ago (on 11/30/2015):
|
|
2,080.41
|
|
|
|
|
The following table sets forth the published high and low closing levels, as well as
end-of-quarter
closing levels, of the S&P 500
®
Index for each quarter in the period from January 1, 2011 through November 30, 2016. The
graph following the table sets forth the daily closing levels of the S&P 500
®
Index during the same period. The closing level of the S&P
500
®
Index on November 30, 2016 was 2,198.81. We obtained the closing level information above and the information in the table and graph below from Bloomberg, without independent
verification. The historical levels of the S&P 500
®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the S&P
500
®
Index at any time, including on the determination dates. The payment of dividends on the stocks that constitute the S&P 500
®
Index are not reflected in its closing level and, therefore, have no effect on the calculation of the payment at maturity.
|
|
|
|
|
|
|
|
|
S&P
500
®
Index
|
|
High
|
|
Low
|
|
Period End
|
|
2011
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
1,343.01
|
|
1,256.88
|
|
|
1,325.83
|
|
Second
Quarter
|
|
1,363.61
|
|
1,265.42
|
|
|
1,320.64
|
|
Third
Quarter
|
|
1,353.22
|
|
1,119.46
|
|
|
1,131.42
|
|
Fourth
Quarter
|
|
1,285.09
|
|
1,099.23
|
|
|
1,257.60
|
|
2012
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
1,416.51
|
|
1,277.06
|
|
|
1,408.47
|
|
Second
Quarter
|
|
1,419.04
|
|
1,278.04
|
|
|
1,362.16
|
|
Third
Quarter
|
|
1,465.77
|
|
1,334.76
|
|
|
1,440.67
|
|
Fourth
Quarter
|
|
1,461.40
|
|
1,353.33
|
|
|
1,426.19
|
|
2013
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
1,569.19
|
|
1,457.15
|
|
|
1,569.19
|
|
Second
Quarter
|
|
1,669.16
|
|
1,541.61
|
|
|
1,606.28
|
|
Third
Quarter
|
|
1,725.52
|
|
1,614.08
|
|
|
1,681.55
|
|
Fourth
Quarter
|
|
1,848.36
|
|
1,655.45
|
|
|
1,848.36
|
|
2014
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
1,878.04
|
|
1,741.89
|
|
|
1,872.34
|
|
Second
Quarter
|
|
1,962.87
|
|
1,815.69
|
|
|
1,960.23
|
|
Third
Quarter
|
|
2,011.36
|
|
1,909.57
|
|
|
1,972.29
|
|
Fourth
Quarter
|
|
2,090.57
|
|
1,862.49
|
|
|
2,058.90
|
|
2015
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
2,117.39
|
|
1,992.67
|
|
|
2,067.89
|
|
Second
Quarter
|
|
2,130.82
|
|
2,057.64
|
|
|
2,063.11
|
|
Third
Quarter
|
|
2,128.28
|
|
1,867.61
|
|
|
1,920.03
|
|
Fourth
Quarter
|
|
2,109.79
|
|
1,923.82
|
|
|
2,043.94
|
|
2016
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
2,063.95
|
|
1,829.08
|
|
|
2,059.74
|
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
|
|
|
|
|
|
|
S&P
500
®
Index
|
|
High
|
|
Low
|
|
Period End
|
Second
Quarter
|
|
2,119.12
|
|
2,000.54
|
|
2,098.86
|
Third
Quarter
|
|
2,137.16
|
|
2,088.55
|
|
2,137.16
|
Fourth Quarter
(through November 30, 2016)
|
|
2,213.35
|
|
2,085.18
|
|
2,198.81
|
*The dotted line in the graph indicates the downside threshold level, equal to 75% of the initial
index value.
License Agreement.
Standard & Poors
®
, S&P
®
, S&P 500
®
and Standard & Poors 500 are trademarks of Standard & Poors
Financial Services LLC and have been licensed for use by JPMorgan Chase & Co. and certain of its affiliates. See Equity Index Descriptions The S&P U.S. Indices License Agreement in the accompanying underlying
supplement.
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
Additional Information about the Securities
Please read
this information in conjunction with the summary terms on the front cover of this document.
|
|
|
Additional Provisions
|
|
|
Record date:
|
|
The record date for each contingent payment date is the date one business day prior to that contingent payment date.
|
Postponement of maturity date:
|
|
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled final determination
date is not a trading day or if a market disruption event occurs on that day so that the final determination date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the securities will be
postponed to the third business day following that final determination date as postponed.
|
Minimum ticketing size:
|
|
$1,000 / 1 security
|
Trustee:
|
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation agent:
|
|
JPMS
|
The estimated value of the securities:
|
|
The estimated value of the securities set forth on the cover of this document is equal to the sum of the values of the following hypothetical
components: (1) a fixed-income debt component with the same maturity as the securities, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of the securities. The
estimated value of the securities does not represent a minimum price at which JPMS would be willing to buy your securities in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the securities is based on, among other things, our and our affiliates view of the funding value of the securities as well as the higher issuance, operational and ongoing liability management costs of the securities in comparison to
those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see Risk Factors The estimated value of the securities is derived by reference to an internal funding rate in this
document. The value of the derivative or derivatives underlying the economic terms of the securities is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable
derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments.
Accordingly, the estimated value of the securities on the pricing date is based on market conditions and other relevant factors and assumptions existing at that time. See Risk Factors The estimated value of the securities does not
represent future values of the securities and may differ from others estimates in this document.
The estimated value of the securities is lower than the original issue price of the securities because costs associated with selling, structuring and hedging the
securities are included in the original issue price of the securities. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates
expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities. Because hedging our obligations entails risk and may be influenced by market forces
beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the securities. See
Risk Factors The estimated value of the securities is lower than the original issue price (price to public) of the securities in this document.
|
Secondary market prices of the securities:
|
|
For information about factors that will impact any secondary market prices of the securities, see Risk Factors Secondary market prices of the securities will be impacted by many economic and market factors in this
document. In addition, we generally expect that some of the costs included in the original issue price of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount that will decline
to zero over an initial predetermined period that is intended to be the shorter of six months and
one-half
of the stated term of the securities. The length of any such initial period reflects the structure of
the securities, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the securities and when these costs are incurred, as determined by our affiliates. See Risk Factors
The value of the securities as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited time period.
|
|
|
|
Tax considerations:
|
|
You should review carefully the section entitled Material U.S. Federal Income Tax Consequences in the accompanying product supplement no.
MS-1-I.
In determining our reporting responsibilities we intend to treat (i) the securities for U.S. federal income tax purposes as prepaid forward contracts with
associated contingent coupons and (ii) any contingent quarterly payments as ordinary income, as described in the section entitled Material U.S. Federal Income Tax Consequences Tax Consequences to U.S. Holders Notes Treated
as Prepaid Forward Contracts with Associated
|
JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
|
|
|
|
|
Contingent Coupons in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel,
we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the securities 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 securities, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities, including
possible alternative treatments and the issues presented by this notice.
Non-U.S.
Holders Tax Considerations.
The U.S. federal income tax treatment of contingent quarterly payments is uncertain, and although we believe it is reasonable to take a position that contingent
quarterly payments are not subject to U.S. withholding tax (at least if an applicable Form
W-8
is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject
to the possible reduction of that rate under an applicable income tax treaty), unless income from your securities is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so requires,
attributable to a permanent establishment in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities in light of your
particular circumstances.
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 securities.
FATCA.
Withholding under legislation commonly referred to as FATCA could apply
to payments with respect to the securities 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 securities are
recharacterized, in whole or in part, as debt instruments, or contingent quarterly payments if they are otherwise treated as FDAP Income). Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than
any amount treated as FDAP Income) of a taxable disposition, including an early redemption or redemption at maturity, of the securities. You should consult your tax adviser regarding the potential application of FATCA to the securities.
In the event of any withholding on the securities, we will not be required to pay any additional
amounts with respect to amounts so withheld.
|
Supplemental use of proceeds and hedging:
|
|
The securities are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the securities.
See How the Securities Work and Hypothetical Examples in this document for an illustration of the risk-return profile of the securities and
NASDAQ-100
Index
®
Overview, Russell 2000
®
Index Overview and S&P 500
®
Index Overview in this document for a description of the market exposure provided by the securities.
The original issue price of the securities is equal to the estimated value of the securities plus the selling commissions paid to JPMS and other affiliated or
unaffiliated dealers and the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the securities, plus the estimated cost of hedging our
obligations under the securities.
|
Benefit plan investor considerations:
|
|
See Benefit Plan Investor Considerations in the accompanying product supplement
|
Supplemental plan of distribution:
|
|
Subject to regulatory constraints, JPMS intends to use its reasonable efforts to offer to purchase the securities in the secondary market, but is not
required to do so. JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley Wealth Management will receive a structuring fee as set
forth on the cover of this document for each security.
We or our affiliate may enter into swap
agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the securities and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the
swap or related hedge transactions. See Supplemental use of proceeds and hedging above and Use of Proceeds and Hedging in the accompanying product supplement.
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Validity of the securities and the guarantee:
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In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the securities offered by this pricing supplement have been executed and issued by
JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such securities will be valid and binding obligations of JPMorgan Financial and the related guarantee will
constitute a valid and binding obligation of
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JPMorgan Chase Financial Company LLC
Contingent Income Auto-Callable Securities due December 5, 2018
Based on the Worst Performing of the NASDAQ-100 Index
®
, the Russell 2000
®
Index and the S&P 500
®
Index
Principal at Risk Securities
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JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors rights generally, concepts of reasonableness and equitable principles
of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited
Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustees authorization, execution and delivery of the indenture and its authentication of the securities and the validity, binding nature and
enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2016, which was filed as an exhibit to the Registration Statement on Form
S-3
by
JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2016.
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Contact:
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Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanleys principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (800)
869-3326).
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Where you can find more information:
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You should read this document together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our
Series A medium-term notes of which these securities are a part, and the more detailed information contained in the accompanying product supplement and the accompanying underlying supplement.
This document, together with the documents listed below, contains the terms of the securities and
supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, stand-alone fact
sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the Risk Factors sections of the accompanying product supplement and the accompanying underlying
supplement, as the securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the securities.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has
changed, by reviewing our filings for the relevant date on the SEC website):
Product supplement no.
MS-1-I
dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
Underlying supplement no.
1-I
dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
Prospectus supplement and prospectus, each dated April 15,
2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan
Chase & Co.s CIK is 19617.
As used in this document, we, us, and our refer to JPMorgan Financial.
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