Registration Statement Nos. 333-209682
and 333-209682-01
The PLUS will pay no interest and do not guarantee any return of your
principal at maturity. At maturity, if the underlying index has appreciated in value, investors will receive the stated principal
amount of their investment plus leveraged upside performance of the underlying index, subject to a maximum payment at maturity.
However, if the underlying index has declined in value, at maturity investors will lose 1% for every 1% decline. The 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 feature that applies to a limited range of positive 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 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 PLUS is subject to the credit risk of JPMorgan Financial, as issuer of the PLUS,
and the credit risk of JPMorgan Chase & Co., as guarantor of the PLUS.
The investor may lose some or all of the stated
principal amount of the PLUS.
SUMMARY TERMS
|
Issuer:
|
JPMorgan Chase Financial Company LLC
|
Guarantor:
|
JPMorgan Chase & Co.
|
Underlying index:
|
TOPIX
®
Index
|
Aggregate principal amount:
|
$
|
Payment at maturity:
|
If the final index value is
greater than
the initial index value, for each $10 stated principal amount PLUS,
|
|
$10 + leveraged upside payment
|
|
In no event will the payment at maturity exceed the maximum payment at maturity.
|
|
If the final index value is
less than or equal to
the initial index value, for each $10 stated principal amount PLUS,
|
|
$10 × index performance factor
|
|
This amount will be less than or equal to the stated principal amount of $10 per PLUS.
|
Leveraged upside payment:
|
$10 × leverage factor × index percent increase
|
Index percent increase:
|
(final index value – initial index value) / initial index value
|
Initial index value:
|
The closing level of the underlying index on the pricing date
|
Final index value:
|
The closing level of the underlying index on the valuation date
|
Leverage factor:
|
300%
|
Index performance factor:
|
final index value / initial index value
|
Maximum payment at maturity:
|
At least $11.825 (at least 118.25% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be provided in the pricing supplement and will not be less than $11.825 per PLUS.
|
Stated principal amount:
|
$10 per PLUS
|
Issue price:
|
$10 per PLUS (see “Commissions and issue price” below)
|
Pricing date:
|
April , 2017 (expected to price on or about April 13, 2017)
|
Original issue date
(settlement date)
:
|
April , 2017 (3 business days after the pricing date)
|
Valuation date:
|
July 31, 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
|
Maturity date:
|
August 3, 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
|
CUSIP / ISIN:
|
48129F556 / US48129F5567
|
Listing:
|
The PLUS will not be listed on any securities exchange.
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
Commissions and issue price:
|
Price to public
(1)
|
Fees and commissions
|
Proceeds to issuer
|
Per PLUS
|
$10.00
|
$0.175
(2)
|
$9.775
|
|
|
$0.05
(3)
|
|
Total
|
$
|
$
|
$
|
|
(1)
|
See “Additional Information about the PLUS — Supplemental use of proceeds and hedging” in this document
for information about the components of the price to public of the PLUS.
|
|
(2)
|
JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley
Smith Barney LLC (“Morgan Stanley Wealth Management”). In no event will these selling commissions exceed $0.175 per
$10 stated principal amount PLUS. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement
|
|
(3)
|
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each
$10 stated principal amount PLUS
|
If the PLUS priced today and assuming a maximum payment at
maturity equal to the minimum listed above, the estimated value of the PLUS would be approximately $9.714 per $10 stated principal
amount PLUS. The estimated value of the PLUS on the pricing date will be provided in the pricing supplement and will not be less
than $9.60 per $10 stated principal amount PLUS. See “Additional Information about the PLUS — The estimated value of
the PLUS” in this document for additional information.
Investing in the 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 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 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 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
PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Investment
Summary
Performance Leveraged Upside Securities
Principal at Risk Securities
The PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018 (the “PLUS”) can be used:
|
§
|
As an alternative to direct exposure to the underlying index that enhances returns for a certain range of positive performance
of the underlying index.
|
|
§
|
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.
|
The PLUS are exposed on a 1:1 basis to
the negative performance of the underlying index.
Maturity:
|
Approximately 15.5 months
|
Leverage factor:
|
300%
|
Maximum payment at maturity:
|
At least $11.825 (at least 118.25% of the stated principal amount) per PLUS (to be provided in the pricing supplement)
|
Minimum payment at maturity:
|
None. Investors may lose their entire initial investment in the PLUS.
|
Supplemental Terms of the PLUS
For purposes
of the accompanying product supplement, the underlying index is an “Index.”
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Key Investment Rationale
PLUS offer leveraged exposure to an underlying
asset, which may be equities, commodities and/or currencies, without any protection against negative performance of the asset.
If the asset has decreased in value, investors are fully exposed to the negative performance of the asset. 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, the investor will
lose 1% for every 1% decline.
Investors may lose some or all of the stated principal amount of the PLUS.
Leveraged Performance
|
The 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.
|
Upside Scenario
|
The underlying index increases in value and, at maturity, the PLUS pay the stated principal amount of $10
plus
a return equal to 300% of the index percent increase, subject to the maximum payment at maturity of at least $11.825 (at least 118.25% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be provided in the pricing supplement.
|
Par Scenario
|
The final index value is equal to the initial index value and, at maturity, the PLUS pay the stated principal amount of $10 per PLUS.
|
Downside Scenario
|
The underlying index declines in value and, at maturity, the 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. (Example: if the underlying index decreases in value by 20%, the PLUS will pay an amount that is less than the stated principal amount by 20%, or $8 per PLUS.)
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
How the PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment
at maturity on the PLUS based on the following terms:
Stated principal amount:
|
$10 per PLUS
|
Leverage factor:
|
300%
|
Hypothetical maximum payment at maturity:
|
$11.825 (118.25% of the stated principal amount) per PLUS (which represents the lowest hypothetical maximum payment at maturity)*
|
*The actual maximum payment at maturity
will be provided in the pricing supplement and will not be less than $11.825 per PLUS.
PLUS Payoff Diagram
|
|
How
it works
|
§
|
Upside
Scenario.
Under the hypothetical terms of the PLUS, if the final index value is greater than the initial index value,
for each $10 principal amount PLUS investors will receive the $10 stated principal amount
plus
a return equal to 300% of
the appreciation of the underlying index over the term of the PLUS, subject to the maximum payment at maturity. Under the hypothetical
terms of the PLUS, an investor will realize the hypothetical maximum payment at maturity at a final index value of approximately
106.083% of the initial index value.
|
|
§
|
Par
Scenario.
If the final index value is equal to the initial index value, investors will receive the stated principal
amount of $10 per PLUS.
|
|
§
|
Downside
Scenario.
If the final index value is less than the initial index value, 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.
|
|
§
|
For example, if the underlying index depreciates 50%,
investors will lose 50% of their principal and receive only $5 per PLUS at maturity, or 50% of the stated principal amount.
|
The hypothetical
returns and hypothetical payments on the PLUS shown above apply
only if you hold the PLUS for their entire term.
These
hypotheticals do not reflect fees or expenses that would be associated with
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
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
PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Risk Factors
The
following is a non-exhaustive list of certain key risk factors for investors in the 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 PLUS.
|
§
|
The
PLUS do not pay interest or guarantee the return of any principal and your investment in the PLUS may result in a loss.
The terms of the PLUS differ from those of ordinary debt securities in that the PLUS do not pay interest or guarantee the payment
of any principal amount at maturity. If the final index value is less than the initial index value, the payment at maturity will
be an amount in cash that is less than the stated principal amount of each PLUS by an amount proportionate to the decrease in
the value of the underlying index and may be zero.
|
|
§
|
The appreciation potential of the PLUS is limited by the maximum
payment at maturity.
The appreciation potential of the PLUS is limited by the maximum payment at maturity of at least
$11.825 (at least 118.25% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be provided in
the pricing supplement. Because the maximum payment at maturity will be limited to at least 118.25% of the stated principal amount
for the PLUS, any increase in the final index value by more than approximately 6.083% (if the maximum payment at maturity is set
at 118.25% of the stated principal amount) will not further increase the return on the PLUS. The actual maximum payment at maturity
will be provided in the pricing supplement.
|
|
§
|
The 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 PLUS.
Investors are dependent on our
and JPMorgan Chase & Co.’s ability to pay all amounts due on the 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 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 PLUS and you could lose your
entire investment.
|
|
§
|
As a finance subsidiary, JPMorgan Financial has no independent operations and has limited assets.
As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our
affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the PLUS. If these affiliates do not make payments to us and we fail to make
payments on the PLUS, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee
will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
|
§
|
Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the 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 PLUS, including acting as calculation agent and
as an agent of the offering of the PLUS, hedging our obligations under the PLUS and making the assumptions used to determine the
pricing of the PLUS and the estimated value of the PLUS, which we refer to as the estimated value of the 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 PLUS. The calculation agent will determine the
initial index value and the final index value and will calculate the amount of payment you will receive at maturity, if any. Determinations
made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events, the selection
of a successor to the underlying index or calculation of the final index value in the event of a discontinuation or material change
in method of calculation of the underlying index, may affect the payment to you at maturity.
|
In
addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our
and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the PLUS
and the value of the PLUS. It is possible that hedging or trading activities of ours or our affiliates in connection with the PLUS
could result in substantial returns for
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
us or our affiliates
while the value of the 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 PLUS will be lower than the original issue price (price to public) of the PLUS
.
The estimated value of the PLUS is only an estimate determined by reference to several factors. The original issue price
of the PLUS will exceed the estimated value of the PLUS because costs associated with selling, structuring and hedging the PLUS
are included in the original issue price of the 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 PLUS and
the estimated cost of hedging our obligations under the PLUS. See “Additional Information about the PLUS — The estimated
value of the PLUS” in this document.
|
|
§
|
The estimated value of the PLUS does not represent future values of the PLUS
and may differ from others’ estimates
.
The estimated value of the PLUS is determined by reference to internal pricing models of our affiliates. This estimated
value of the 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 PLUS that are greater than or less than the estimated value of the 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 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 PLUS from you in secondary market transactions. See “Additional Information about the
PLUS — The estimated value of the PLUS” in this document.
|
|
§
|
The estimated value of the PLUS is derived by reference to an internal funding rate
.
The internal funding rate used in the determination of the estimated value of the PLUS is based on, among other things,
our and our affiliates’ view of the funding value of the PLUS as well as the higher issuance, operational and ongoing liability
management costs of the 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 PLUS and
any secondary market prices of the PLUS. See “Additional Information about the PLUS — The estimated value of the PLUS”
in this document.
|
|
§
|
The value of the 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 PLUS for a limited time period
.
We generally expect that
some of the costs included in the original issue price
of the PLUS will be partially paid back to you in connection with any repurchases of your 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 PLUS — Secondary market prices of the PLUS” in this document
for additional information relating to this initial period. Accordingly, the estimated value of your PLUS during this initial period
may be lower than the value of the PLUS as published by JPMS (and which may be shown on your customer account statements).
|
|
§
|
Secondary market prices of the PLUS will likely be lower than the original issue price of the PLUS
.
Any secondary market prices of the PLUS will likely be lower than the original issue price of the PLUS because, among
other things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances
and, also, because secondary market prices (a) exclude selling commissions and the structuring fee and (b) may exclude projected
hedging profits, if any, and estimated hedging costs that are included in the original issue price of the PLUS. As a result, the
price, if any, at which JPMS will be willing to buy 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 PLUS.
|
The PLUS are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your PLUS to maturity. See “— Secondary trading
may be limited” below.
|
§
|
Secondary market prices of the PLUS will be impacted by many economic
and market factors.
The secondary market price of the PLUS during their term will be impacted by a number of economic
and
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
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 PLUS;
|
|
o
|
the dividend rates on the equity securities included in the underlying index;
|
|
o
|
interest and yield rates in the market generally;
|
|
o
|
the exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the
equity securities included in the underlying index trade and the correlation among those rates and the levels of the underlying
index; and
|
|
o
|
a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the PLUS, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the PLUS, if any, at which JPMS may be willing to purchase your
PLUS in the secondary market.
|
§
|
Investing in the PLUS is not equivalent to investing in the underlying
index.
Investing in the PLUS is not equivalent to investing in the underlying index or its
component stocks. Investors in the 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 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 PLUS are subject to risks associated with securities issued
by non-U.S. companies.
The equity securities included in the underlying index have
been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve
risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities, including
risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain
countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than
there is about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject
to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable
to U.S. reporting companies.
|
|
§
|
The PLUS are not directly exposed to fluctuations in foreign exchange
rates.
The value of your PLUS will not be adjusted for exchange rate fluctuations between
the U.S. dollar and the currencies upon which the equity securities included in the underlying index are based, although any currency
fluctuations could affect the performance of the underlying index. Therefore, if the applicable currencies appreciate or
depreciate relative to the U.S. dollar over the term of the PLUS, you will not receive any additional payment or incur any reduction
in any payment on the PLUS.
|
|
§
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the
PLUS
.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the
PLUS
on
or prior to the pricing date and prior to maturity could adversely affect the value of
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
the underlying index
and, as a result, could decrease the amount an investor may receive on the PLUS at maturity, if any. Any of these hedging or trading
activities on or prior to the pricing date could potentially affect the initial index value and, 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 PLUS
or so that you do not suffer a loss on your initial investment in the PLUS. Additionally, these hedging or trading activities during
the term of the 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 PLUS declines.
|
§
|
Secondary trading may be limited.
Th
e PLUS will not be listed on a securities exchange. There may be little or no secondary market for the PLUS. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the PLUS easily
.
JPMS
may act as a market maker for the 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 PLUS, the price at which you may be able to trade your PLUS is likely
to depend on the price, if any, at which
JPMS
is willing to buy the 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 PLUS.
|
|
§
|
The final terms and valuation of the PLUS will be provided in the pricing supplement.
The final terms of the PLUS will be provided in the pricing supplement. In particular, each of the estimated value
of the PLUS and the maximum payment at maturity will be provided in the pricing supplement and each may be as low as the applicable
minimum set forth on the cover of this document. Accordingly, you should consider your potential investment in the PLUS based
on the minimums for the estimated value of the PLUS and the maximum payment at maturity.
|
|
§
|
The tax consequences of an investment in the PLUS are uncertain.
There is no direct legal authority as to the proper
U.S. federal income tax characterization of the 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 PLUS described in “Additional Information about the 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 PLUS, the timing
and character of any income or loss on the 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 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 PLUS, including possible alternative treatments and the issues presented by this
notice.
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
TOPIX
®
Index
Overview
The TOPIX
®
Index, also known as the Tokyo Stock
Price Index, is a capitalization weighted index of all the Japanese common stocks listed on the First Section of the Tokyo Stock
Exchange, Inc., which we refer to as the “TSE.” The TSE Japanese stock market is divided into two sections: the First
Section and the Second Section. Listings of stocks on the TSE are divided between these two sections, with stocks listed on the
First Section typically being limited to larger, longer established and more actively traded issues and the Second Section to smaller
and newly listed companies. For additional information about the TOPIX
®
Index, see “Equity Index Descriptions
— The TOPIX
®
Index” in the accompanying underlying supplement.
Information as of market close on March 28,
2017:
Bloomberg Ticker Symbol:
|
TPX
|
Current Closing Level:
|
1,544.83
|
52 Weeks Ago (on 3/28/2016):
|
1,381.85
|
52 Week High (on 3/13/2017):
|
1,577.40
|
52 Week Low (on 6/24/2016):
|
1,204.48
|
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 March 28, 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 March 28, 2017 was 1,544.83. We obtained the closing level
information above and in the table and graph below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The historical levels of the underlying index should not be taken as an indication of future
performance, and no assurance can be given as to the closing level of the underlying index on the valuation date. The payment of
dividends on the stocks that constitute the underlying index are not reflected in its closing level and, therefore, have no effect
on the calculation of the payment at maturity.
TOPIX
®
Index
|
High
|
Low
|
Period End
|
2012
|
|
|
|
First Quarter
|
872.42
|
725.24
|
854.35
|
Second Quarter
|
856.05
|
695.51
|
770.08
|
Third Quarter
|
778.70
|
706.46
|
737.42
|
Fourth Quarter
|
859.80
|
713.95
|
859.80
|
2013
|
|
|
|
First Quarter
|
1058.10
|
871.88
|
1034.71
|
Second Quarter
|
1276.03
|
991.34
|
1133.84
|
Third Quarter
|
1222.72
|
1106.05
|
1194.10
|
Fourth Quarter
|
1302.29
|
1147.58
|
1302.29
|
2014
|
|
|
|
First Quarter
|
1306.23
|
1139.27
|
1202.89
|
Second Quarter
|
1269.04
|
1132.76
|
1262.56
|
Third Quarter
|
1346.43
|
1228.26
|
1326.29
|
Fourth Quarter
|
1447.58
|
1177.22
|
1407.51
|
2015
|
|
|
|
First Quarter
|
1592.25
|
1357.98
|
1543.11
|
Second Quarter
|
1679.89
|
1528.99
|
1630.40
|
Third Quarter
|
1691.29
|
1375.52
|
1411.16
|
Fourth Quarter
|
1605.94
|
1442.74
|
1547.30
|
2016
|
|
|
|
First Quarter
|
1509.67
|
1196.28
|
1347.20
|
Second Quarter
|
1407.50
|
1204.48
|
1245.82
|
Third Quarter
|
1352.67
|
1209.88
|
1322.78
|
Fourth Quarter
|
1552.36
|
1301.16
|
1518.61
|
2017
|
|
|
|
First Quarter (through March 28, 2017)
|
1577.40
|
1506.33
|
1544.83
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Value of the TOPIX
®
Index due August 3, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
TOPIX
®
Index Historical Performance – Daily Closing Levels
January 4, 2012 to
March 28, 2017
|
|
License Agreement.
JPMorgan Chase & Co. or its
affiliate has entered into a non-exclusive license agreement with the TSE 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 TOPIX
®
Index in connection with certain securities, including the securities. For more information, see “Equity Index Descriptions
— The TOPIX
®
Index — License Agreement” in the accompanying underlying supplement.