JPMorgan Chase Financial Company LLC
|
February 2017
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Pricing Supplement
Registration Statement Nos. 333-209682
and 333-209682-01
Dated February 15, 2017
Filed pursuant to Rule 424(b)(2)
Structured Investments
Opportunities in International Equities
Buffered PLUS Based on the Value
of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance Leveraged
Upside Securities
SM
Principal at Risk
Securities
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
The Buffered PLUS will pay no interest and provide a minimum
payment at maturity of only 10.00% of the stated principal amount. At maturity, if the underlying index has appreciated in value,
investors will receive the stated principal amount of their investment plus leveraged upside performance of the underlying index,
subject to a maximum payment at maturity. If the underlying index has declined in value but has not declined by more than the specified
buffer amount, investors will receive the stated principal amount of their investment. However, if the underlying index has declined
by more than the buffer amount, at maturity investors will lose 1% for every 1% decline beyond the specified buffer amount, subject
to the minimum payment at maturity of 10.00% of the stated principal amount.
Investors may lose up to 90.00% of the stated principal
amount of the Buffered PLUS at maturity.
The Buffered PLUS are for investors who seek an equity-based return and who are willing
to risk their principal and forgo current income and upside above the maximum payment at maturity in exchange for the leverage
and buffer features that in each case apply to a limited range of performance of the underlying index. At maturity, an investor
will receive an amount in cash that may be greater than, equal to, or less than the stated principal amount based upon the closing
level of the underlying index on the valuation date
.
The Buffered PLUS are unsecured and unsubordinated obligations of JPMorgan
Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed
by JPMorgan Chase & Co., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program.
Any payment
on the Buffered PLUS is subject to the credit risk of JPMorgan Financial, as issuer of the Buffered PLUS, and the credit risk of
JPMorgan Chase & Co., as guarantor of the Buffered PLUS.
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.
|
Underlying index:
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EURO STOXX 50
®
Index
|
Aggregate principal amount:
|
$10,789,200
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Payment at maturity:
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If the final index value is
greater than
the initial index value, for each $10 stated principal amount Buffered PLUS,
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$10 + leveraged upside payment
|
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In no event will the payment at maturity exceed the maximum payment at maturity.
|
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If the final index value is
equal to
the initial index value
or is
less than
the initial index value but has decreased from the initial index value by an amount
less than or equal to
the buffer amount of 10.00%, for each $10 stated principal amount Buffered PLUS,
|
|
$10
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If the final index value is
less than
the initial index value and has decreased from the initial index value by an amount
greater than
the buffer amount of 10.00%, for each $10 stated principal amount Buffered PLUS,
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($10 × index performance factor) + $1.00
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|
This amount will be less than the stated principal amount of $10 per Buffered PLUS. However, subject to the credit risk of JPMorgan Chase & Co., under no circumstances will the Buffered PLUS pay less than $1.00 per Buffered PLUS at maturity.
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Leveraged upside payment:
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$10 × leverage factor × index percent increase
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Index percent increase:
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(final index value – initial index value) / initial index value
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Leverage factor:
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150%
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Buffer amount:
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10.00%
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Index performance factor:
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final index value / initial index value
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Maximum payment at maturity:
|
$11.522 (115.22% of the stated principal amount) per Buffered PLUS
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Minimum payment at maturity:
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$1.00 per Buffered PLUS (10.00% of the stated principal amount)
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Stated principal amount:
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$10 per Buffered PLUS
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Issue price:
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$10 per Buffered PLUS (see “Commissions and issue price” below)
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Pricing date:
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February 15, 2017
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Original issue date (settlement date):
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February 21, 2017
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Valuation date:
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May 15, 2018, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” in the accompanying product supplement
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Maturity date:
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May 18, 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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Agent:
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J.P. Morgan Securities LLC (“JPMS”)
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Terms continued on the following page
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Commissions and issue price:
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Price to public
(1)
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Fees and commissions
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Proceeds to issuer
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Per Buffered PLUS
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$10.00
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$0.175
(2)
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$9.775
|
|
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$0.05
(
3)
|
|
Total
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$10,789,200.00
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$242,757.00
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$10,546,443.00
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(1)
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See “Additional Information about the Buffered PLUS — Supplemental use of proceeds and hedging” in this
document for information about the components of the price to public of the Buffered PLUS.
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(2)
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JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $0.175 per $10 stated principal
amount Buffered PLUS it receives from us to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”). See
“Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
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(3)
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Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each
$10 stated principal amount Buffered PLUS.
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The estimated value of the Buffered PLUS on the pricing
date was $9.771 per $10 stated principal amount Buffered PLUS. See “Additional Information about the Buffered PLUS —
The estimated value of the Buffered PLUS” in this document for additional information.
Investing in the Buffered PLUS involves a number of risks.
See “Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “Risk Factors” beginning on page 6 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the Buffered PLUS or passed upon the accuracy or the adequacy
of this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The Buffered PLUS are not bank deposits, are not insured
by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
You should read this document
together with the related product supplement, underlying supplement,
prospectus
supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information
about the Buffered PLUS” at the end of this document.
Product supplement no. MS-1-I dated June 3,
2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
Underlying supplement no. 1-I dated April 15,
2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
Prospectus
supplement and prospectus, each dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
Terms continued from previous page:
Initial index value:
|
The closing level of the underlying index on the pricing date, which was 3,323.71
|
Final index value:
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The closing level of the underlying index on the valuation date
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CUSIP / ISIN:
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48128P118 / US48128P1185
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Listing:
|
The Buffered PLUS will not be listed on any securities exchange.
|
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
Investment Summary
Buffered Performance Leveraged Upside
Securities
Principal at Risk Securities
The Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018 (the “Buffered PLUS”) can be used:
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§
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As an alternative to direct exposure to the underlying index that enhances returns for a certain range of potential positive
performance of the underlying index.
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§
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To potentially achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum
payment at maturity, while using fewer dollars by taking advantage of the leverage factor.
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§
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To obtain a buffer against a specified level of negative performance in the underlying index.
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Maturity:
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Approximately 15 months
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Leverage factor:
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150%
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Buffer amount:
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10.00%
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Maximum payment at maturity:
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$11.522 (115.22% of the stated principal amount) per Buffered PLUS
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Minimum payment at maturity:
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$1.00 per Buffered PLUS. Investors may lose up to 90.00% of the stated principal amount of the Buffered PLUS at maturity.
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Supplemental Terms of the Buffered PLUS
For purposes of the accompanying
product supplement, the underlying index is an “Index.”
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
Key Investment Rationale
Buffered PLUS offer leveraged exposure to an underlying asset,
which may be equities, commodities and/or currencies, while providing limited protection against negative performance of the asset.
If the asset has decreased in value by more than the specified buffer amount, investors are exposed to the negative performance
of the asset, subject to the minimum payment at maturity. At maturity, if the asset has appreciated, investors will receive the
stated principal amount of their investment plus leveraged upside performance of the underlying asset, subject to the maximum payment
at maturity. At maturity, if the asset has depreciated and (i) if the asset has not depreciated by more than the specified buffer
amount, investors will receive the stated principal amount of their investment, or (ii) if the asset has depreciated by more than
the buffer amount, the investor will lose 1% for every 1% decline beyond the specified buffer amount.
Investors may lose up
to 90.00% of the stated principal amount of the Buffered PLUS at maturity.
Leveraged Performance
|
The Buffered PLUS offer investors an opportunity to capture enhanced returns for a certain range of positive performance relative to a direct investment in the underlying index.
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Upside Scenario
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The underlying index increases in value and, at maturity, the Buffered PLUS pay the stated principal amount of $10
plus
a return equal to 150% of the index percent increase, subject to the maximum payment at maturity of $11.522 (115.22% of the stated principal amount) per Buffered PLUS.
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Par Scenario
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The final index value is equal to the initial index value or declines in value by no more than 10.00% and, at maturity, the Buffered PLUS pay the stated principal amount of $10 per Buffered PLUS.
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Downside Scenario
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The underlying index declines in value by more than 10.00% and, at maturity, the Buffered PLUS pay an amount that is less than the stated principal amount by an amount that is proportionate to the percentage decline of the final index value from the initial index value, plus the buffer amount of 10.00%. (Example: if the underlying index decreases in value by 20%, the Buffered PLUS will pay an amount that is less than the stated principal amount by 20% plus the buffer amount of 10.00%, or $9.00 per Buffered PLUS.) The minimum payment at maturity is $1.00 per Buffered PLUS, subject to the credit risk of JPMorgan Chase & Co.
|
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
How the Buffered PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the Buffered PLUS based on the following terms:
Stated principal amount:
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$10 per Buffered PLUS
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Leverage factor:
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150%
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Maximum payment at maturity:
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$11.522 (115.22% of the stated principal amount) per Buffered PLUS
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Minimum payment at maturity:
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$1.00 per Buffered PLUS
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Buffered
PLUS Payoff Diagram
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How it works
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§
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Upside
Scenario.
If the final index value is greater than the initial index value, for each $10 principal amount Buffered
PLUS investors will receive the $10 stated principal amount
plus
a return equal to 150% of the appreciation of the underlying
index over the term of the Buffered PLUS, subject to the maximum payment at maturity. Under the terms of the Buffered PLUS, an
investor will realize the maximum payment at maturity at a final index value of approximately 110.1467% of the initial index value.
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§
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Par
Scenario.
If the final index value is equal to the initial index value or is less than the initial index value but
has decreased from the initial index value by an amount less than or equal to the buffer amount of 10.00%, investors will receive
the stated principal amount of $10 per Buffered PLUS.
|
|
§
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Downside
Scenario.
If the final index value is less than the initial index value and has decreased from the initial index value
by an amount greater than the buffer amount of 10.00%, investors will receive an amount that is less than the stated principal
amount by an amount proportionate to the percentage decrease of the final index value from the initial index value, plus the buffer
amount of 10.00%. The minimum payment at maturity is $1.00 per Buffered PLUS.
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§
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For example, if the underlying index depreciates 50%, investors will lose 40.00% of their principal and receive only $6.00
per Buffered PLUS at maturity, or 60.00% of the stated principal amount.
|
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
The hypothetical returns and hypothetical
payments on the Buffered PLUS shown above apply
only if you hold the Buffered PLUS for their entire term.
These hypotheticals
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were
included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Risk
Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the Buffered PLUS.
For further discussion of
these and other risks, you should read the sections entitled “Risk Factors” of the accompanying product supplement
and the accompanying underlying supplement. We urge you to consult your investment, legal, tax, accounting and other advisers in
connection with your investment in the Buffered PLUS.
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§
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Buffered
PLUS do not pay interest and you could lose up to 90.00% of your principal at maturity.
The terms of the Buffered PLUS
differ from those of ordinary debt securities in that the Buffered PLUS do not pay interest and provide a minimum payment at maturity
of only 10.00% of your principal, subject to the credit risk of JPMorgan Chase & Co. If the final index value has declined
by an amount greater than the buffer amount of 10.00% from the initial index value, you will receive for each Buffered PLUS that
you hold a payment at maturity that is less than the stated principal amount of each Buffered PLUS by an amount proportionate
to the decline in the value of the underlying index, plus $1.00 per Buffered PLUS. Accordingly, you could lose up to 90.00% of
your principal.
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§
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The appreciation potential of the Buffered PLUS is limited by the
maximum payment at maturity.
The appreciation potential of the Buffered PLUS is limited by
the maximum payment at maturity of $11.522 (115.22% of the stated principal amount) per Buffered PLUS. Because the maximum payment
at maturity will be limited to 115.22% of the stated principal amount for the Buffered PLUS, any increase in the final index value
by more than approximately 10.1467% will not further increase the return on the Buffered PLUS.
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§
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The
Buffered PLUS are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., and any actual or anticipated
changes to our or JPMorgan Chase & Co.’s credit ratings or credit spreads may adversely affect the market value of the
Buffered PLUS.
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on
the Buffered PLUS. Any actual or anticipated decline in our or JPMorgan Chase & Co.’s credit ratings or increase in
our or JPMorgan Chase & Co.’s credit spreads determined by the market for taking that credit risk is likely to adversely
affect the market value of the Buffered PLUS. If we and JPMorgan Chase & Co. were to default on our payment obligations, you
may not receive any amounts owed to you under the Buffered PLUS and you could lose your entire investment.
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§
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As a finance subsidiary, JPMorgan Financial has no independent operations
and has limited assets.
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond
the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements.
As a result, we are dependent upon payments from our affiliates to meet our obligations under the Buffered PLUS. If these affiliates
do not make payments to us and we fail to make payments on the Buffered PLUS, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co.
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§
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Economic interests of the issuer, the guarantor, the calculation agent
, the agent of
the offering of the Buffered PLUS and other affiliates of the issuer may be different from those of investors.
We
and our affiliates play a variety of roles in connection with the issuance of the Buffered PLUS, including acting as calculation
agent and
as
an agent of the offering of the Buffered PLUS, hedging our obligations under the Buffered PLUS
and making the assumptions used to determine the pricing of the Buffered PLUS and the estimated value of the Buffered PLUS, which
we refer to as the estimated value of the Buffered PLUS. In performing these duties, our and JPMorgan Chase & Co.’s economic
interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests
as an investor in the Buffered PLUS. The calculation agent has determined the initial index value, will determine the final index
value and will calculate the amount of payment you will receive at maturity. Determinations made by the calculation agent, including
with respect to the occurrence or non-occurrence of market disruption events, the selection of a successor to the underlying index
or calculation of the final index value
|
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
in the event of a
discontinuation or material change in method of calculation of the underlying index, may affect the payment to you at maturity.
In
addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our
and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the Buffered
PLUS and the value of the Buffered PLUS. It is possible that hedging or trading activities of ours or our affiliates
in
connection with the Buffered PLUS could result in substantial returns for us or our affiliates while the value of the Buffered
PLUS declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product
supplement for additional information about these risks.
|
§
|
The estimated value of the Buffered PLUS is lower than the original
issue price (price to public) of the Buffered PLUS.
The estimated value of the Buffered PLUS
is only an estimate determined by reference to several factors. The original issue price of the Buffered PLUS exceeds the estimated
value of the Buffered PLUS because costs associated with selling, structuring and hedging the Buffered PLUS are included in the
original issue price of the Buffered PLUS. These costs include the selling commissions, the structuring fee, the projected profits,
if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Buffered PLUS and
the estimated cost of hedging our obligations under the Buffered PLUS. See “Additional Information about the Buffered PLUS
— The estimated value of the Buffered PLUS” in this document.
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|
§
|
The estimated value of the Buffered PLUS does not represent future
values of the Buffered PLUS and may differ from others’ estimates. The estimated value of the Buffered PLUS is determined
by reference to internal pricing models of our affiliates.
This estimated value of the Buffered
PLUS is based on market conditions and other relevant factors existing at the time of pricing and assumptions about market parameters,
which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could
provide valuations for the Buffered PLUS that are greater than or less than the estimated value of the Buffered PLUS. In addition,
market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future
dates, the value of the Buffered PLUS could change significantly based on, among other things, changes in market conditions, our
or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the
price, if any, at which JPMS would be willing to buy the Buffered PLUS from you in secondary market transactions. See “Additional
Information about the Buffered PLUS — The estimated value of the Buffered PLUS” in this document.
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§
|
The estimated value of the Buffered PLUS is derived by reference
to an internal funding rate.
The internal funding rate used in the determination of the estimated
value of the Buffered PLUS is based on, among other things, our and our affiliates’ view of the funding value of the Buffered
PLUS as well as the higher issuance, operational and ongoing liability management costs of the Buffered PLUS
in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co
.
The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the Buffered
PLUS and any secondary market prices of the Buffered PLUS. See “Additional Information about the Buffered PLUS — The
estimated value of the Buffered PLUS” in this document.
|
|
§
|
The value of the Buffered PLUS as published by JPMS (and which may
be reflected on customer account statements) may be higher than the then-current estimated value of the Buffered PLUS for a limited
time period.
We generally expect that some of the costs included in the original issue price
of the Buffered PLUS will be partially paid back to you in connection with any repurchases of your Buffered PLUS by JPMS in an
amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, the structuring
fee, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. See “Additional Information about the Buffered PLUS — Secondary market prices
of the Buffered PLUS” in this document for additional information relating to this initial period. Accordingly, the estimated
value of your Buffered PLUS during this initial period may be lower than the value of the Buffered PLUS as published by JPMS (and
which may be shown on your customer account statements).
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|
§
|
Secondary market prices of the Buffered PLUS will likely be lower than the original issue price of the Buffered PLUS
.
Any secondary market prices of the Buffered PLUS will likely be lower than the original issue price of the Buffered
PLUS because, among other things, secondary market prices take into account our internal secondary market funding rates for structured
debt issuances and, also, because
|
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
secondary market prices (a) exclude selling commissions
and the structuring fee and (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included in
the original issue price of the Buffered PLUS. As a result, the price, if any, at which JPMS will be willing to buy Buffered PLUS
from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior
to the maturity date could result in a substantial loss to you. See the immediately following risk factor for information about
additional factors that will impact any secondary market prices of the Buffered PLUS.
The Buffered PLUS are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your Buffered PLUS to maturity. See “—
Secondary trading may be limited” below.
|
§
|
Secondary market prices of the Buffered PLUS will be impacted by
many economic and market factors.
The secondary market price of the Buffered PLUS during their term will be impacted
by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
structuring fee, projected hedging profits, if any, estimated hedging costs and the closing level of the underlying index, including:
|
|
o
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
o
|
customary bid-ask spreads for similarly sized trades;
|
|
o
|
our internal secondary market funding rates for structured debt issuances;
|
|
o
|
the actual and expected volatility of the underlying index;
|
|
o
|
the time to maturity of the Buffered PLUS;
|
|
o
|
the dividend rates on the equity securities included in the underlying index;
|
|
o
|
interest and yield rates in the market generally;
|
|
o
|
the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the
equity securities included in the EURO STOXX 50
®
Index trade and the correlation among those rates and the levels
of the EURO STOXX 50
®
Index; and
|
|
o
|
a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the Buffered PLUS, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the Buffered PLUS, if any, at which JPMS may be willing
to purchase your Buffered PLUS in the secondary market.
|
§
|
Investing in the Buffered PLUS is not equivalent to investing in
the underlying index.
Investing in the Buffered PLUS is not equivalent to investing in the
underlying index or its component stocks. Investors in the Buffered PLUS will not have voting rights or rights to receive dividends
or other distributions or any other rights with respect to stocks that constitute the underlying index.
|
|
§
|
Adjustments to the underlying index could adversely affect the value
of the Buffered PLUS.
The underlying index publisher may discontinue or suspend calculation
or publication of the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion
to substitute a successor index that is comparable to the discontinued underlying index and is not precluded from considering indices
that are calculated and published by the calculation agent or any of its affiliates.
|
|
§
|
The Buffered PLUS are subject to risks associated with securities
issued by non-U.S. companies.
The equity securities included in the EURO STOXX 50
®
Index have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities
involve risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities,
including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies
in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions
than there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies
are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from
those applicable to U.S. reporting companies.
|
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
|
§
|
The Buffered PLUS are not directly exposed to fluctuations in foreign
exchange rates.
The value of your Buffered PLUS will not be adjusted for exchange rate fluctuations
between the U.S. dollar and the currencies upon which the equity securities included in the EURO STOXX 50
®
Index
are based, although any currency fluctuations could affect the performance of the EURO STOXX 50
®
Index. Therefore,
if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the Buffered PLUS, you will
not receive any additional payment or incur any reduction in any payment on the Buffered PLUS.
|
|
§
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the
Buffered
PLUS
.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with
respect to the
Buffered PLUS
on
or prior to the pricing date and prior to maturity could have adversely affected, and may continue to adversely affect, the value
of the underlying index and, as a result, could decrease the amount an investor may receive on the Buffered PLUS at maturity. Any
of these hedging or trading activities
on or prior to the pricing date could have affected the initial index value and,
therefore, could potentially increase the level that the final index value must reach before you receive a payment at maturity
that exceeds the issue price of the
Buffered PLUS
or so that you do not suffer a loss on your initial investment in the Buffered PLUS
. Additionally, these hedging or trading
activities during the term of the
Buffered PLUS
,
including on the valuation date, could adversely affect the final index value and, accordingly, the amount of cash an investor
will receive at maturity. It is possible that these hedging or trading activities could result in substantial returns for us or
our affiliates while the value of the Buffered PLUS declines.
|
|
§
|
Secondary trading may be limited.
Th
e Buffered PLUS will not be listed on a securities exchange. There may be little or no secondary market for the
Buffered PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Buffered
PLUS easily
. JPMS
may act as a market maker
for the Buffered PLUS, but is not required to do so. Because we do not expect that other market makers will participate significantly
in the secondary market for the Buffered PLUS, the price at which you may be able to trade your Buffered PLUS is likely to depend
on the price, if any, at which
JPMS
is willing
to buy the Buffered PLUS. If at any time
JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the Buffered
PLUS.
|
|
§
|
The tax consequences of an investment in the Buffered PLUS are uncertain.
There is no direct
legal authority as to the proper U.S. federal income tax characterization of the Buffered PLUS, and we do not intend to request
a ruling from the IRS. The IRS might not accept, and a court might not uphold, the treatment of the Buffered PLUS described in
“Additional Information about the Buffered PLUS ― Additional Provisions ― Tax considerations” in this document
and in “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement. If the IRS were successful
in asserting an alternative treatment for the Buffered PLUS, the timing and character of any income or loss on the Buffered PLUS
could differ materially and adversely from our description herein. In addition, in 2007 Treasury and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the Buffered PLUS, possibly with
retroactive effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment
in the Buffered PLUS, including possible alternative treatments and the issues presented by this notice.
|
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
EURO STOXX 50
®
Index Overview
The EURO STOXX 50
®
Index consists of 50 component
stocks of market sector leaders from within the Eurozone. For additional information about the EURO STOXX 50
®
Index,
see the information set forth under “Equity Index Descriptions ― The EURO STOXX 50
®
Index” in
the accompanying underlying supplement.
Information as of market close on February 15, 2017:
Bloomberg Ticker Symbol:
|
SX5E
|
Current Closing Level:
|
3,323.71
|
52 Weeks Ago (on 2/15/2016):
|
2,833.87
|
52 Week High (on 1/25/2017):
|
3,326.15
|
52 Week Low (on 6/27/2016):
|
2,697.44
|
The following table sets forth the published high and low
closing levels, as well as end-of-quarter closing levels, of the underlying index for each quarter in the period from January 1,
2012 through February 15, 2017. The graph following the table sets forth the daily closing levels of the underlying index during
the same period. The closing level of the underlying index on February 15, 2017 was 3,323.71. We obtained the closing level information
above and in the table and graph below from the Bloomberg Professional
®
service (“Bloomberg”), without
independent verification. The historical values of the underlying index should not be taken as an indication of future performance,
and no assurance can be given as to the closing level of the underlying index on the valuation date. The payment of dividends on
the stocks that constitute the underlying index are not reflected in its closing level and, therefore, have no effect on the calculation
of the payment at maturity.
EURO
STOXX 50
®
Index
|
High
|
Low
|
Period
End
|
2012
|
|
|
|
First Quarter
|
2,608.42
|
2,286.45
|
2,477.28
|
Second Quarter
|
2,501.18
|
2,068.66
|
2,264.72
|
Third Quarter
|
2,594.56
|
2,151.54
|
2,454.26
|
Fourth Quarter
|
2,659.95
|
2,427.32
|
2,635.93
|
2013
|
|
|
|
First Quarter
|
2,749.27
|
2,570.52
|
2,624.02
|
Second Quarter
|
2,835.87
|
2,511.83
|
2,602.59
|
Third Quarter
|
2,936.20
|
2,570.76
|
2,893.15
|
Fourth Quarter
|
3,111.37
|
2,902.12
|
3,109.00
|
2014
|
|
|
|
First Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
Second Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
Third Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
Fourth Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
2015
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
2016
|
|
|
|
First Quarter
|
3,178.01
|
2,680.35
|
3,004.93
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
Third Quarter
|
3,091.66
|
2,761.37
|
3,002.24
|
Fourth Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
2017
|
|
|
|
First Quarter (through February 15, 2017)
|
3,326.15
|
3,230.68
|
3,323.71
|
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
EURO STOXX 50
®
Index Historical Performance – Daily Closing Levels
January 2, 2012 to
February 15, 2017
|
|
|
License Agreement.
The EURO STOXX 50
®
Index and STOXX
®
are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland
and/or its licensors (the “Licensors”), which are used under license. The Buffered PLUS based on the EURO STOXX 50
®
Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any
of its Licensors shall have any liability with respect thereto. See “Equity Index Descriptions — The EURO STOXX 50
®
Index — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
Additional Information about the Buffered
PLUS
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional Provisions:
|
Postponement of maturity date:
|
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Buffered PLUS will be postponed to the third business day following the valuation date as postponed.
|
Minimum ticketing size:
|
$1,000 / 100 Buffered PLUS
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
Calculation agent:
|
JPMS
|
The estimated value of the Buffered PLUS:
|
The estimated value of the Buffered PLUS set forth
on the cover of this document is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt
component with the same maturity as the Buffered PLUS, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the Buffered PLUS. The estimated value of the Buffered PLUS does not represent
a minimum price at which JPMS would be willing to buy your Buffered PLUS in any secondary market (if any exists) at any time. The
internal funding rate used in the determination of the estimated value of the Buffered PLUS is based on, among other things, our
and our affiliates’ view of the funding value of the Buffered PLUS as well as the higher issuance, operational and ongoing
liability management costs of the Buffered PLUS in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase
& Co. For additional information, see “Risk Factors — The estimated value of the Buffered PLUS is derived by reference
to an internal funding rate” in this document. The value of the derivative or derivatives underlying the economic terms of
the Buffered PLUS is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded
market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or
environments. Accordingly, the estimated value of the Buffered PLUS on the pricing date is based on market conditions and other
relevant factors and assumptions existing at that time. See “Risk Factors — The estimated value of the Buffered PLUS
does not represent future values of the Buffered PLUS and may differ from others’ estimates” in this document.
The estimated value of the Buffered PLUS is lower than
the original issue price of the Buffered PLUS because costs associated with selling, structuring and hedging the Buffered PLUS
are included in the original issue price of the Buffered PLUS. These costs include the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, the structuring fee, the projected profits, if any, that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the Buffered PLUS and the estimated cost of hedging our obligations under
the Buffered PLUS. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this
hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates
will retain any profits realized in hedging our obligations under the Buffered PLUS. See “Risk Factors — The estimated
value of the Buffered PLUS is lower than the original issue price (price to public) of the Buffered PLUS” in this document.
|
Secondary market prices of the Buffered PLUS:
|
For information about factors that will impact any secondary market prices of the Buffered PLUS, see “Risk Factors — Secondary market prices of the Buffered PLUS will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the Buffered PLUS will be partially paid back to you in connection with any repurchases of your Buffered PLUS by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of six months and one-half of the stated term of the Buffered PLUS. The length of any such initial period reflects the structure of the Buffered PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Buffered PLUS and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the Buffered PLUS as published by JPMS (and which may be reflected on customer account statements) may be
|
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
|
higher than the then-current estimated value of the Buffered PLUS 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. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell
LLP, regarding the material U.S. federal income tax consequences of owning and disposing of the Buffered PLUS.
Based on current market conditions, in the opinion
of our special tax counsel, your Buffered PLUS should be treated as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax
Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, the gain or loss on your Buffered PLUS should be treated as long-term
capital gain or loss if you hold your Buffered PLUS for more than a year, whether or not you are an initial purchaser of Buffered
PLUS at the issue price. However, the IRS or a court may not respect this treatment of the Buffered PLUS, in which case the timing
and character of any income or loss on the Buffered PLUS could be materially and adversely affected. In addition, in 2007 Treasury
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income
over the term of their investment. It also asks for comments on a number of related topics, including the character of income or
loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject
to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other
guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the Buffered PLUS, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax
consequences of an investment in the Buffered PLUS, including possible alternative treatments and the issues presented by this
notice.
Withholding under legislation commonly referred to as “FATCA”
may (if the Buffered PLUS are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the
Buffered PLUS. Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any
amount treated as interest) of a taxable disposition, including redemption at maturity, of the Buffered PLUS. You should consult
your tax adviser regarding the potential application of FATCA to the Buffered PLUS.
|
Supplemental use of proceeds and hedging:
|
The Buffered PLUS are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the Buffered PLUS. See “How the Buffered
PLUS Work” in this document for an illustration of the risk-return profile of the Buffered PLUS and “EURO STOXX 50
®
Index Overview” in this document for a description of the market exposure provided by the Buffered PLUS.
The original issue price of the Buffered PLUS is equal
to the estimated value of the Buffered PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers
and the structuring fee, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the Buffered PLUS, plus the estimated cost of hedging our obligations under the Buffered PLUS.
|
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 Buffered PLUS in the secondary market, but is not required to do so.
JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management.
In addition, Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each
PLUS.
We or our affiliate may enter into swap agreements
or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the
Buffered PLUS and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge
transactions. See “— Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging”
in the accompanying product supplement.
|
JPMorgan Chase Financial Company
LLC
Buffered
PLUS Based on the Value of the EURO STOXX 50
®
Index due May 18, 2018
Buffered Performance
Leveraged Upside Securities
SM
Principal at Risk Securities
Validity of the Buffered PLUS:
|
In the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when the Buffered PLUS offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such Buffered PLUS will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication of the Buffered PLUS and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2016.
|
Contact:
|
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326).
|
Where you can find more information:
|
You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these
Buffered PLUS are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This document, together with the documents listed below, contains
the terms of the Buffered PLUS and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
stand-alone fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the
matters set forth in the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying
supplement, as the Buffered PLUS involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before you invest in the Buffered PLUS.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
• Product supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
• Underlying supplement
no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
• Prospectus supplement and prospectus, each dated
April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Financial.
“Performance Leveraged Upside Securities
SM
”
and “PLUS
SM
” are service marks of Morgan Stanley.
|
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