Opportunities in U.S. and International
Equities
Fixed Coupon Callable Securities do not guarantee the
repayment of principal. The securities offer the opportunity for investors to earn a fixed quarterly coupon. In addition,
we will have the right to redeem the securities at our discretion on any coupon payment date
(other than the first and
final coupon payment dates) for an early redemption payment equal to the stated principal amount
plus
the related quarterly
coupon. Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance
of the underlying indices. If the securities have not been redeemed prior to maturity and the final index value of
each
underlying index is greater than or equal to its downside threshold level, the payment at maturity due on the securities will
be the stated principal amount and the final quarterly coupon. If, however, the securities have not been redeemed prior to
maturity and the final index value of
any
underlying index is less than its downside threshold level, you will be exposed
to the decline in the worst performing of the underlying indices, as compared to its initial index value, on a 1-to-1 basis and
will receive, in addition to the final quarterly coupon, a cash payment at maturity (excluding the final quarterly coupon) that
is less than 60% of the stated principal amount of the securities and could be zero. The securities are for investors who are
willing to risk their principal and seek an opportunity to earn interest at a potentially above-market rate in exchange for the
risk of receiving a cash payment at maturity that is significantly less than the stated principal amount of the securities and
could be zero.
Accordingly, investors could lose their entire initial investment in the securities
. Because any payment
at maturity is based on the worst performing of the underlying indices, a decline beyond the downside threshold level of any underlying
index will result in a significant loss of your initial investment, even if the other underlying indices appreciate or have not
declined as much. Investors will not participate in any appreciation of any underlying index. The securities are unsecured
and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on
which is fully and unconditionally guaranteed by JPMorgan Chase & Co., issued as part of JPMorgan Financial’s Medium-Term
Notes, Series A, program.
Any payment on the securities is subject to the credit risk of JPMorgan Financial, as issuer
of the securities, and the credit risk of JPMorgan Chase & Co., as guarantor of the securities.
SUMMARY TERMS
|
|
Issuer:
|
JPMorgan Chase Financial Company LLC
|
Guarantor:
|
JPMorgan Chase & Co.
|
Underlying indices:
|
EURO STOXX 50
®
Index (the “SX5E Index”), S&P 500
®
Index (the “SPX Index”) and Russell 2000
®
Index (the “RTY Index”) (each an “underlying index”)
|
Aggregate principal amount:
|
$
|
Optional early redemption:
|
We,
at our discretion
, may redeem the securities early, in whole but not in part, on any of the coupon payment dates (other than the first and final coupon payment dates) for the early redemption payment. If we intend to redeem your securities early, we will deliver notice to The Depository Trust Company, or DTC, at least three business days before the applicable coupon payment date. Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the underlying indices. No further payments will be made on the securities once they have been redeemed.
|
Early redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount
plus
(ii) the quarterly coupon otherwise due on the related coupon payment date.
|
Quarterly coupon:
|
Unless the securities have been previously redeemed, a quarterly coupon at an annual rate of at least 5.15% (corresponding to at least $12.875 per quarter per security) is payable on each coupon payment date.
|
Payment at maturity (if the securities have not been previously redeemed):
|
·
If the final index value of
each
underlying index is
greater than or equal to
its downside threshold level:
|
(i) the stated principal amount
plus
(ii) the final quarterly coupon
|
|
·
If the final index value of
any
underlying index is less than its downside threshold level:
|
(i) (a) the stated principal amount
times
(b) the index performance factor of the worst performing underlying index
plus
(ii) the final quarterly coupon. This cash payment (excluding the final quarterly coupon) will be less than 60% of the stated principal amount of the securities and could be zero.
|
Downside threshold level:
|
With respect to the SX5E Index: , which is equal to
60% of its initial index value
With respect to the SPX Index: , which is equal to 60%
of its initial index value
With respect to the RTY Index: , which is equal to 60% of its initial index value
|
Stated principal amount:
|
$1,000 per security
|
Issue price:
|
$1,000 per security (see “Commissions and issue price” below)
|
Pricing date:
|
On or about March , 2017 (expected to price on or about March 3, 2017)
|
Original issue date (settlement date):
|
March , 2017 (3 business days after the pricing date)
|
Valuation date:
|
March 4, 2019, subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes — Postponement of a Determination Date” in the accompanying product supplement
|
Maturity date:
|
March 7, 2019, 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
|
|
Terms continued on the following page
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
Commissions and issue price:
|
|
Price to public
(1)
|
Fees and commissions
|
Proceeds to issuer
|
Per security
|
|
$1,000.00
|
$15.00
(2)
|
$980.00
|
|
|
|
$5.00
(3)
|
|
Total
|
|
$
|
$
|
$
|
|
|
|
|
|
|
|
(1)
|
See “Additional Information
about the Securities — Supplemental use of proceeds and hedging” in this
document for information about the components of the price to public of the securities.
|
|
(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 $15.00 per $1,000 stated principal amount security.
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 $5.00
for each $1,000 stated principal amount security
|
If the securities priced today and assuming a quarterly
coupon equal to the minimum listed above, the estimated value of the securities would be approximately $970.00 per $1,000 stated
principal amount security. The estimated value of the securities on the pricing date will be provided in the pricing supplement
and will not be less than $950.00 per $1,000 stated principal amount security.
See “Additional Information about the
Securities — The estimated value of the securities” in this document for additional information.
Investing in the securities involves a number of risks.
See “Risk Factors” beginning on page PS-9 of the accompanying product supplement, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “Risk Factors” beginning on page 10 of this document.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy
of this document or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
The securities are not bank deposits, are not insured
by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a
bank.
You should read this document together
with the related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be accessed
via the hyperlinks below. Please also see “Additional Information about the Securities” at the end of this document.
Product
supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
Underlying
supplement no. 1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
Prospectus
supplement and prospectus, each dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based
on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal
at Risk Securities
Terms continued from previous page:
|
Initial index value:
|
With respect to the SX5E Index: , which is its closing
level on the pricing date
With respect to the SPX Index: , which is its closing
level on the pricing date
With respect to the RTY Index: , which is its closing
level on the pricing date
|
Final index value:
|
With respect to each underlying index, the closing level on the valuation date
|
Worst performing underlying index:
|
The underlying index with the worst index performance factor
|
Index performance factor:
|
With respect to each underlying index, the final index value
divided by
the initial index value
|
Coupon payment dates:
|
June 8, 2017, September 8, 2017, December 7, 2017, March 8, 2018, June 7, 2018, September 7, 2018, December 6, 2018 and the maturity date, 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:
|
46646QJ63 / US46646QJ631
|
Listing:
|
The securities will not be listed on any securities exchange.
|
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Investment Summary
The Fixed Coupon Callable Securities due March
7, 2019 Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the
Russell 2000
®
Index, which we refer to as the securities, provide an opportunity for investors to earn a fixed quarterly
coupon at an annual rate of at least 5.15%. The actual quarterly coupon will be provided in the pricing supplement.
In addition,
we will have the right to redeem
the securities at our discretion
on any coupon payment date (other than the first and final coupon payment dates) for the early
redemption payment equal to the stated principal amount
plus
the quarterly coupon for the that coupon payment date. Any
early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the underlying
indices. If the securities have not previously been redeemed and the final index value of each underlying index is greater than
or equal to its downside threshold level, the payment at maturity will be the sum of the stated principal amount and the final
quarterly coupon. However, if the securities have not previously been redeemed and the final index value of any underlying index
is less than its downside threshold level, investors will be exposed to the decline in the worst performing underlying index, as
compared to its initial index value, on a 1-to-1 basis. Under these circumstances, the payment at maturity will be (i) (a) the
stated principal amount
times
(b) the index performance factor of the worst performing underlying index
plus
(ii)
the final quarterly coupon. This payment (excluding the final quarterly coupon) will be less than 60% of the stated principal amount
and could be zero. Investors in the securities must be willing to accept the risk of losing their entire principal In addition,
investors will not participate in any appreciation of the underlying indices.
Supplemental Terms of the Securities
For purposes of the accompanying product supplement, each underlying
index is an “Index.”
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Key Investment Rationale
The securities offer investors an opportunity to earn a fixed
quarterly coupon at an annual rate of at least 5.15%. The actual quarterly coupon will be provided in the pricing supplement. The
securities may be redeemed prior to maturity for the stated principal amount per security
plus
the applicable quarterly
coupon, and the payment at maturity will vary depending on the final index value of each underlying index, as follows:
Scenario 1
|
On any coupon payment date (other
than the first and final coupon payment dates), we elect to redeem the securities.
§
The
securities will be redeemed for (i) the stated principal amount
plus
(ii) the final quarterly coupon otherwise due on that
coupon payment date.
§
Investors
will not participate in any appreciation of any underlying index from its initial index value.
Any early redemption of
the securities will be at our discretion and will not automatically occur based on the performance of the underlying indices.
It is more likely that we will redeem the securities when it would otherwise be advantageous for you to continue to hold the securities.
As such, we will be more likely to redeem the securities when the securities are paying above-market interest. If the securities
are redeemed prior to maturity, you will receive no more quarterly coupons and may be forced to reinvest in a lower interest rate
environment. Under these circumstances, you may not be able to reinvest the proceeds from an investment in the securities at a
comparable return for a similar level of risk.
On the other hand, we will
be less likely to exercise our redemption right when the securities are paying below-market interest. In this scenario, you will
not have the opportunity to earn the higher prevailing market interest by reinvesting the proceeds from an early redemption.
|
Scenario 2
|
The securities are not redeemed
prior to maturity, and the final index value of each underlying index is
greater than or equal to
its downside threshold
level.
§
The
payment due at maturity will be (i) the stated principal amount
plus
(ii) the final quarterly coupon.
§
Investors
will not participate in any appreciation of any underlying index from its initial index value.
|
Scenario 3
|
The securities are not redeemed
prior to maturity, and the final index value of any underlying index is
less than
its downside threshold level.
§
The
payment due at maturity will be (i) (a) the stated principal amount
times
(b) the index performance factor of the worst
performing underlying index
plus
(ii) the final quarterly coupon.
Investors will lose some, and may
lose all, of their principal in this scenario.
|
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on (1) the closing levels, (2) the final index values and (3) whether we exercise our option to redeem
the securities.
Diagram #1: First Coupon Payment Date
Diagram #2: Coupon Payment Dates (Other
Than the First and Final Coupon Payment Dates)
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Diagram #3: Payment at Maturity if No Early
Redemption Occurs
For more information about the payment upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 7.
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to calculate
the early redemption payment if we elect to redeem the securities early and how to calculate the payment at maturity if the securities
have not been redeemed early. The following examples are for illustrative purposes only. If the securities have not been previously
redeemed, the amount you will receive at maturity, if any, will be determined by reference to the final index value of each underlying
index. Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance
of the underlying indices. The actual initial index value and downside threshold level for each underlying index will be provided
in the pricing supplement. All payments on the securities, if any, are subject to our and JPMorgan Chase & Co.’s credit
risks. The numbers in the hypothetical examples below may have been ro
Hypothetical quarterly coupon:
|
$12.875 per security
|
Early redemption:
|
We,
at our discretion
, may redeem the securities early, in whole but not in part, on any of the coupon payment dates (other than the first and final coupon payment dates) for the early redemption payment equal to the stated principal amount
plus
the quarterly coupon for the applicable coupon payment date.
|
Payment at maturity (if the securities have not been redeemed early):
|
If the final index value of each underlying index is
greater than or equal to
its downside threshold level: the stated principal amount and the final quarterly coupon
If the final index value of any underlying index is
less than its downside threshold level: (i) (a) the stated principal amount
times
(b) the index performance factor of the
worst performing underlying index
plus
(ii) the final quarterly coupon
|
Stated principal amount:
|
$1,000 per security
|
Hypothetical initial index value:
|
With respect to the SX5E Index: 3,300.00
With respect to the SPX Index: 2,350.00
With respect to the RTY Index: 1,400.00
|
Hypothetical downside threshold level:
|
With respect to the SX5E Index: 1,980.00, which is 60%
of the hypothetical initial index value for such index
With respect to the SPX Index: 1,410.00, which is 60%
of the hypothetical initial index value for such index
With respect to the RTY Index: 840.00, which is 60%
of the hypothetical initial index value for such index
|
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
How to calculate the early redemption payment
if we elect to redeem the securities early:
|
Early redemption
|
Payment
|
Hypothetical Coupon Payment Date 1
|
No
|
$12.875 (quarterly coupon)
|
Hypothetical Coupon Payment Date 2
|
Yes
|
$1,012.875 (the stated principal amount
plus
the related quarterly coupon)
|
The securities are not redeemable on hypothetical coupon payment
date 1, but we elect to redeem the securities early on hypothetical coupon payment date 2. The early redemption payment will include
the quarterly coupon due with respect to the second coupon payment date, and will be equal to the stated principal amount of the
securities
plus
the related quarterly coupon. No further payments will be made on the securities once they have been redeemed.
In this example, the early redemption feature
limits the term of your investment to approximately 6 months and you may not be able to reinvest at comparable terms or returns.
If the securities are redeemed early, you will stop receiving quarterly coupons. The total payments on the securities will
amount to $1,025.75 per security.
How to calculate the payment at maturity (if
the securities have not been redeemed early):
|
Final index value
|
Payment at maturity
|
|
SX5E Index
|
SPX Index
|
RTY Index
|
|
Example 1:
|
2,300 (
at or above
downside threshold level)
|
1,600 (
at or above
downside threshold level)
|
1,000 (
at or above
downside threshold level)
|
$1,012.875 (the stated principal amount
plus
the final quarterly coupon)
|
Example 2:
|
1,800 (
below
downside threshold level)
|
2,000 (
at or above
downside threshold level)
|
700 (
below
downside threshold level)
|
[$1,000 × index performance factor
of the worst performing underlying index] + final quarterly coupon =
$[1,000 × (700 / 1,400)] + $12.875
= $512.875
|
Example 3:
|
1,320 (
below
downside threshold level)
|
1,300 (
below
downside threshold level)
|
800 (
below
downside threshold level)
|
$[1,000 × (1,320 / 3,300)] + $12.875 = $412.875
|
Example 4:
|
1,400 (
below
downside threshold level)
|
705 (
below
downside threshold level)
|
600 (
below
downside threshold level)
|
$[1,000 × (705 / 2,350)] + $12.875 = $312.875
|
In example 1, the final index value of each underlying index
is at or above its downside threshold level. Therefore, you receive at maturity the stated principal amount of the securities and
the final quarterly coupon.
In example 2, the final index value of one underlying index is
at or above its downside threshold level but the final index values of the other underlying indices are below their respective
downside threshold levels. Therefore, you are exposed to the downside performance of the worst performing underlying index at maturity
and receive a cash payment at maturity equal to (i) (a) the stated principal amount
times
(b) the index performance factor
of the worst performing underlying index
plus
(ii) the final quarterly coupon.
Similarly, in examples 3 and 4, the final index value of each
underlying index is below its downside threshold level, and you receive a cash payment at maturity equal to (i) (a) the stated
principal amount
times
(b) the index performance factor of the worst performing underlying index
plus
(ii) the final
quarterly coupon.
If the final index value of ANY underlying index is below
its downside threshold level, you will be exposed to the downside performance of the worst performing underlying index at maturity,
and your payment at maturity (excluding the final quarterly coupon) will be less than 60% of the stated principal amount per security
and could be zero.
The hypothetical returns and hypothetical payments on the securities
shown above apply
only if you hold the securities for their entire term or until early redemption.
These hypotheticals do
not reflect fees or expenses that would be associated with
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
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
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the securities. For further discussion of these and other risks, you should read the sections entitled
“Risk Factors” of the accompanying product supplement and the accompanying underlying supplement. We urge you to consult
your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.
|
§
|
The securities do not guarantee the return of any principal and your investment in the securities may result in a loss.
The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the return of
any of the principal amount at maturity. Instead, if the securities have not been redeemed prior to maturity and if the final index
value of
any
of the underlying indices is less than its downside threshold level, you will be exposed to the decline in
the closing level of the worst performing underlying index, as compared to its initial index value, on a 1-to-1 basis. Under these
circumstances, you will receive for each security that you hold at maturity, in addition to the final quarterly coupon, a cash
payment equal to the stated principal amount
times
the index performance factor of the worst performing underlying index.
In this case, your payment at maturity (excluding the final quarterly coupon) will be less than 60% of the stated principal
amount and could be zero.
|
|
§
|
You are exposed to the price risk of all three underlying indices, with respect to the payment at maturity.
Your return
on the securities is not linked to a basket consisting of the underlying indices. Rather, it will be contingent upon the independent
performance of each underlying index. Unlike an instrument with a return linked to a basket of underlying assets in which risk
is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to each underlying
index. The performance of the underlying indices may not be correlated. Poor performance by
any
underlying index over the
term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the
other underlying indices. Accordingly, your investment is subject to the risk of decline in the closing level of each underlying
index.
|
If
any
underlying index has
declined to below its downside threshold level as of the valuation date, you will be
fully exposed
to the decline in the
worst performing underlying index, as compared to its initial index value, on a 1-to-1 basis, even if the other underlying indices
have appreciated. Under this scenario, your payment at maturity (excluding the final quarterly coupon) will be less than 60% of
the stated principal amount and could be zero.
|
§
|
Because the securities are linked to the performance of the worst performing underlying
index, you are exposed to greater risks of sustaining a significant loss on your investment than if the securities were linked
to just one underlying index.
The risk that you will suffer a significant loss on your investment is greater if you invest
in the securities than if you invest in substantially similar securities that are linked to the performance of just one underlying
index. With three underlying indices, it is more likely that any one underlying index will close below its downside threshold level
on the valuation date than if the securities were linked to only one underlying index. In addition, you will not benefit from the
performance of any underlying index other than the worst performing underlying index. Therefore it is more likely that you will
suffer a significant loss on your investment.
|
|
§
|
The securities are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., and any actual or anticipated
changes to our or JPMorgan Chase & Co.’s credit ratings or credit spreads may adversely affect the market value of the
securities
.
Investors are dependent on our and JPMorgan Chase
& Co.’s ability to pay all amounts due on the securities. Any actual or anticipated decline in our or JPMorgan Chase
& Co.’s credit ratings or increase in our or JPMorgan Chase & Co.’s credit spreads determined by the market
for taking that credit risk is likely to adversely affect the market value of the securities. If we and JPMorgan Chase & Co.
were to default on our payment obligations, you may not receive any amounts owed to you under the securities and you could lose
your entire investment.
|
|
§
|
As a finance subsidiary, JPMorgan Financial has no independent operations and has limited assets.
As a finance subsidiary
of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities. Aside
from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our
affiliates to make payments under loans made by us or other intercompany agreements. As a result, we are dependent upon payments
from our affiliates to meet our obligations under the securities. If these affiliates do not make payments to us and we fail to
make payments on the securities, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that
guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
|
§
|
Investors will not participate in any appreciation in any underlying
index.
Investors will not participate in any appreciation in any underlying index from its
initial index value, and the return on the securities will be limited to the quarterly coupon that is paid with respect to each
coupon payment date.
|
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
|
§
|
The securities are subject to risks associated with securities issued by non-U.S. companies, with respect to the SX5E Index.
The equity securities included in the SX5E 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 securities are not directly exposed to fluctuations in foreign exchange rates with respect to the SX5E Index.
The
value of your securities will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies upon which
the equity securities included in the SX5E Index are based, although any currency fluctuations could affect the performance of
the SX5E Index. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the
securities, you will not receive any additional payment or incur any reduction in any payment on the securities.
|
|
§
|
An investment in the securities is subject to risks associated with
small capitalization stocks with respect to the RTY Index.
The stocks that constitute the
RTY Index are issued by companies with relatively small market capitalization. The stock prices of smaller companies may be more
volatile than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse
economic, market, trade and competitive conditions relative to larger companies. Small capitalization companies are less likely
to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits downward stock price pressure
under adverse market conditions.
|
|
§
|
Early redemption risk.
The term of your investment in
the securities may be limited to as short as approximately six months by the optional early redemption feature of the securities.
Any early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the
underlying indices. It is more likely that we will redeem the securities when it would otherwise be advantageous for you to continue
to hold the securities. As such, we will be more likely to redeem the securities when the securities are paying above-market
interest. If the securities are redeemed prior to maturity, you will receive no more quarterly coupons and may be forced to reinvest
in a lower interest rate environment. Under these circumstances, you may not be able to reinvest the proceeds from an investment
in the securities at a comparable return for a similar level of risk. On the other hand, we will be less likely to exercise our
redemption right when the securities are paying below-market interest. In this scenario, you will not have the opportunity to earn
the higher prevailing market interest by reinvesting the proceeds from an early redemption.
|
|
§
|
Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the securities and
other affiliates of the issuer may be different from those of investors.
We
and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent
and as an agent of the offering of the securities, hedging our obligations under the securities and making the assumptions used
to determine the pricing of the securities and the estimated value of the securities, which we refer to as the estimated value
of the securities. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests
of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
The calculation agent will determine the initial index values, the downside threshold levels and the final index values and whether
the final index value of each underlying index is below its downside threshold level. Determinations made by the calculation agent,
including with respect to the occurrence or non-occurrence of market disruption events, may affect the payment to you at maturity
or upon an early redemption.
|
In
addition, JPMorgan Chase & Co. is currently one of the companies that make up the SPX Index. JPMorgan Chase & Co. will
not have any obligation to consider your interests as a holder of the securities in taking any corporate action that might affect
the value of the SPX Index or the securities.
Moreover,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the securities and
the value of the securities. It is possible that hedging or trading activities of ours or our affiliates in connection with the
securities could result in substantial returns for us or our affiliates while the value of the securities declines. Please refer
to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional
information about these risks.
|
§
|
The estimated value of the securities will be lower than the original
issue price (price to public) of the securities.
The estimated value of the securities is
only an estimate determined by reference to several factors. The original issue price of the securities will exceed the estimated
value of the securities because costs associated with
|
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
selling,
structuring and hedging the securities are included in the original issue price of the securities. These costs include the selling
commissions, the structuring fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent
in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities. See “Additional
Information about the Securities — The estimated value of the securities” in this document.
|
§
|
The estimated value of the securities does not represent future
values of the securities and may differ from others’ estimates. The estimated value of the securities is determined by reference
to internal pricing models of our affiliates.
This estimated value of the securities is based
on market conditions and other relevant factors existing at the time of pricing and assumptions about market parameters, which
can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide
valuations for the securities that are greater than or less than the estimated value of the securities. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the securities could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase
& Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at
which JPMS would be willing to buy securities from you in secondary market transactions. See “Additional Information about
the Securities — The estimated value of the securities” in this document.
|
|
§
|
The estimated value of the securities is derived by reference to
an internal funding rate.
The internal funding rate used in the determination of the estimated
value of the securities is based on, among other things, our and our affiliates’ view of the funding value of the securities
as well as the higher issuance, operational and ongoing liability management costs of the securities in comparison to those costs
for the conventional fixed-rate debt of JPMorgan Chase & Co. The use of an internal funding rate and any potential changes
to that rate may have an adverse effect on the terms of the securities and any secondary market prices of the securities. See “Additional
Information about the Securities — The estimated value of the securities” in this document.
|
|
§
|
The value of the securities as published by JPMS (and which may
be reflected on customer account statements) may be higher than the then-current estimated value of the securities for a limited
time period.
We generally expect that some of the costs included in the original issue price
of the securities will be partially paid back to you in connection with any repurchases of your securities by JPMS in an amount
that will decline to zero over an initial predetermined period. These costs can include selling commissions, the structuring fee,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. See “Additional Information about the Securities — Secondary market prices of
the securities” in this document for additional information relating to this initial period. Accordingly, the estimated value
of your securities during this initial period may be lower than the value of the securities as published by JPMS (and which may
be shown on your customer account statements).
|
|
§
|
Secondary market prices of the securities will likely be lower than
the original issue price of the securities.
Any secondary market prices of the securities
will likely be lower than the original issue price of the securities because, among other things, secondary market prices take
into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices
(a) exclude selling commissions and the structuring fee and (b) may exclude projected hedging profits, if any, and estimated hedging
costs that are included in the original issue price of the securities. As a result, the price, if any, at which JPMS will be willing
to buy securities from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any
sale by you prior to the maturity date could result in a substantial loss to you. See the immediately following risk factor for
information about additional factors that will impact any secondary market prices of the securities.
|
The
securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities
to maturity. See “— Secondary trading may be limited” below.
|
§
|
Secondary market prices of the securities will be impacted by many
economic and market factors.
The secondary market price of the securities during their
term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the
selling commissions, structuring fee, projected hedging profits, if any, estimated hedging costs and the closing level of each
underlying index, including:
|
|
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 in the closing level of each underlying index;
|
|
o
|
the time to maturity of the securities;
|
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
|
o
|
whether the final index value of any underlying index is expected to be less than its downside threshold level;
|
|
o
|
whether we are expected to exercise our right to redeem the securities early;
|
|
o
|
the dividend rates on the equity securities included in the underlying indices;
|
|
o
|
the actual and expected positive or negative correlation between the underlying indices, or the actual or expected absence
of any such correlation;
|
|
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 SX5E Index trade and the correlation among those rates and the levels of the SX5E 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 securities, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the securities, if any, at which JPMS may be willing
to purchase your securities in the secondary market.
|
§
|
Investing in the securities is not equivalent to investing in any underlying index.
Investing in the securities
is not equivalent to investing in any underlying index or its component stocks. Investors in the securities will not have
voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute
any underlying index.
|
Adjustments to any underlying
index could adversely affect the value of the securities.
The underlying index publisher of any underlying index may
discontinue or suspend calculation or publication of that underlying index at any time. In these circumstances, the calculation
agent will have the sole discretion to substitute a successor index that is comparable to the discontinued underlying index and
is not precluded from considering indices that are calculated and published by the calculation agent or any of its affiliates.
|
§
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the
securities
.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with respect to the
securities on or prior to the pricing date and prior
to maturity could adversely affect the closing levels of the underlying indices. Any of these hedging or trading activities
on or prior to the pricing date could potentially affect the initial index values and, as a result, the downside threshold levels,
which are the respective levels at or above which the underlying indices must close on the valuation date, if the securities are
not redeemed prior to maturity, in order for you to avoid being exposed to the negative price performance of the worst performing
underlying index at maturity. Additionally, these hedging or trading activities during the term of the securities could potentially
affect the values of the underlying indices on the valuation date and, accordingly, if the securities are not redeemed prior to
maturity, the payment to you at maturity. It is possible that these hedging or trading activities could result in substantial returns
for us or our affiliates while the value of the securities declines.
|
|
§
|
Secondary trading may be limited.
Th
e
securities will not be listed on a securities exchange. There may be little or no secondary market for the securities. Even if
there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily
.
JPMS
may act as a market maker for the securities, but is not required to do so. Because we do not expect that other market
makers will participate significantly in the secondary market for the securities, the price at which you may be able to trade your
securities is likely to depend on the price, if any, at which
JPMS
is willing to buy the securities. If at any time
JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the securities.
|
|
§
|
The final terms and valuation of the securities will be provided in the pricing supplement.
The final terms of the securities
will be provided in the pricing supplement. In particular, each of the estimated value of the securities and the quarterly coupon
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 securities based on the minimums for the estimated value of the
securities and the quarterly coupon.
|
|
§
|
The U.S. federal income tax consequences of an investment in the securities are uncertain.
There is no direct legal
authority as to the proper U.S. federal income tax treatment of the securities, and we do not intend to request a ruling from the
IRS. Insofar as we have tax reporting responsibilities with respect to your securities, we intend (in the absence of an administrative
determination or judicial ruling to the contrary) to treat them for U.S. federal income tax purposes as units each comprising (i)
a Put Option written by you that is terminated if an early redemption occurs and that, if not terminated, in circumstances where
the payment due at maturity is less than $1,000 (excluding accrued
|
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
and unpaid interest), requires you
to pay us an amount equal to that difference and (y) a Deposit of $1,000 per $1,000 principal amount security to secure your potential
obligation under the Put Option, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences
to U.S. Holders — Notes Treated as Units Each Comprising a Put Option and a Deposit” in the accompanying product supplement,
and in particular in the subsection thereof entitled “— Notes with a Term of More than One Year.” The IRS might
not accept, and a court might not uphold, this treatment. If the IRS were successful in asserting an alternative treatment for
the securities, the timing and character of income on the securities 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 on a number of issues, the most relevant
of which for investors in the securities are the timing and character of income or loss (including whether the Put Premium might
be currently included as ordinary income) and the degree, if any, to which income realized by non-U.S. investors should be subject
to withholding tax. While it is not clear whether the securities would be viewed as similar to the typical prepaid forward contract
described in the notice, it is possible that 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 securities, possibly with retroactive
effect. You should review carefully the section below entitled “Tax considerations” and consult your tax adviser regarding
the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the
issues presented by this notice.
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
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 27, 2017:
Bloomberg Ticker Symbol:
|
SX5E
|
52 Week High (on 2/21/2017):
|
3,339.33
|
Current Closing Level:
|
3,309.30
|
52 Week Low (on 6/27/2016):
|
2,697.44
|
52 Weeks Ago (on 2/29/2016):
|
2,945.75
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the EURO STOXX 50
®
Index for each quarter in the period from
January 1, 2012 through February 27, 2017. The graph following the table sets forth the daily closing levels of the EURO STOXX
50
®
Index during the same period. The closing level of the EURO STOXX 50
®
Index on February 27, 2017
was 3,309.30. We obtained the closing level information above and the information in the table and graph below from Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The historical levels of the EURO STOXX 50
®
Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the
EURO STOXX 50
®
Index at any time, including on the valuation date. The payment of dividends on the stocks that constitute
the EURO STOXX 50
®
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 27, 2017)
|
3,339.33
|
3,230.68
|
3,309.30
|
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
EURO STOXX 50
®
Index Historical Performance – Daily Closing Levels*
January 2, 2012 to February 27, 2017
|
*The dotted line in the graph indicates the hypothetical
downside threshold level, equal to 60% of the closing level on February 27, 2017. The actual downside threshold level will be based
on the closing level on the pricing date.
License Agreement.
The EURO STOXX 50
®
Index
and STOXX
®
are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland
and/or its licensors (the “Licensors”), which are used under license. The securities based on the EURO STOXX 50
®
Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any
of its Licensors shall have any liability with respect thereto. See “Equity Index Descriptions — The EURO STOXX 50
®
Index — License Agreement” in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
S&P 500
®
Index Overview
The S&P 500
®
Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC consists of stocks of 500 companies selected to provide a performance benchmark
for the U.S. equity markets. For additional information on the S&P 500
®
Index, see the information set forth
under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
Information as of market close on February 27, 2017:
Bloomberg Ticker Symbol:
|
SPX
|
52 Week High (on 2/27/2017):
|
2,369.75
|
Current Closing Level:
|
2,369.75
|
52 Week Low (on 2/29/2016):
|
1,932.23
|
52 Weeks Ago (on 2/29/2016):
|
1,932.23
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the S&P 500
®
Index for each quarter in the period from
January 1, 2012 through February 27, 2017. The graph following the table sets forth the daily closing levels of the S&P 500
®
Index during the same period. The closing level of the S&P 500
®
Index on February 27, 2017 was 2,369.75. We
obtained the closing level information above and in the table and graph below from Bloomberg, without independent verification.
The historical levels of the S&P 500
®
Index should not be taken as an indication of future performance, and
no assurance can be given as to the closing level of the S&P 500
®
Index at any time, including on the valuation
date. The payment of dividends on the stocks that constitute the S&P 500
®
Index are not reflected in its closing
level and, therefore, have no effect on the calculation of the payment at maturity.
S&P 500
®
Index
|
High
|
Low
|
Period End
|
2012
|
|
|
|
First Quarter
|
1,416.51
|
1,277.06
|
1,408.47
|
Second Quarter
|
1,419.04
|
1,278.04
|
1,362.16
|
Third Quarter
|
1,465.77
|
1,334.76
|
1,440.67
|
Fourth Quarter
|
1,461.40
|
1,353.33
|
1,426.19
|
2013
|
|
|
|
First Quarter
|
1,569.19
|
1,457.15
|
1,569.19
|
Second Quarter
|
1,669.16
|
1,541.61
|
1,606.28
|
Third Quarter
|
1,725.52
|
1,614.08
|
1,681.55
|
Fourth Quarter
|
1,848.36
|
1,655.45
|
1,848.36
|
2014
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First Quarter (through February 27, 2017)
|
2,369.75
|
2,257.83
|
2,369.75
|
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
S&P 500
®
Index Historical Performance – Daily Closing Levels*
January 3, 2012 to February 27, 2017
|
*The dotted line in the graph indicates the hypothetical
downside threshold level, equal to 60% of the closing level on February 27, 2017. The actual downside threshold level will be based
on the closing level on the pricing date.
License Agreement.
“Standard & Poor’s
®
,”
“S&P
®
,” “S&P 500
®
” and “Standard & Poor’s 500”
are trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use by JPMorgan Chase & Co.
and its affiliates. See “Equity Index Descriptions — The S&P U.S. Indices — License Agreement” in the
accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Russell 2000
®
Index Overview
The Russell 2000
®
Index consists of the middle
2,000 companies included in the Russell 3000ETM Index and, as a result of the index calculation methodology, consists of the smallest
2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed to track
the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000
®
Index, see the information set forth under “Equity Index Descriptions — The Russell Indices” in the accompanying
underlying supplement.
Information as of market close on February 27, 2017:
Bloomberg Ticker Symbol:
|
RTY
|
52 Week High (on 2/21/2017):
|
1,410.344
|
Current Closing Level:
|
1,407.970
|
52 Week Low (on 2/29/2016):
|
1,033.901
|
52 Weeks Ago (on 2/29/2016):
|
1,033.901
|
|
|
The following table sets forth the published high and low closing
levels, as well as end-of-quarter closing levels, of the Russell 2000
®
Index for each quarter in the period from
January 1, 2012 through February 27, 2017. The graph following the table sets forth the daily closing levels of the Russell 2000
®
Index during the same period. The closing level of the Russell 2000
®
Index on February 27, 2017 was 1,407.970. We
obtained the closing level information above and in the table and graph below from Bloomberg, without independent verification.
The historical levels of the Russell 2000
®
Index should not be taken as an indication of future performance, and
no assurance can be given as to the closing level of the Russell 2000
®
Index at any time, including on the valuation
date. The payment of dividends on the stocks that constitute the Russell 2000
®
Index are not reflected in its closing
level and, therefore, have no effect on the calculation of the payment at maturity.
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
2012
|
|
|
|
First Quarter
|
846.129
|
747.275
|
830.301
|
Second Quarter
|
840.626
|
737.241
|
798.487
|
Third Quarter
|
864.697
|
767.751
|
837.450
|
Fourth Quarter
|
852.495
|
769.483
|
849.350
|
2013
|
|
|
|
First Quarter
|
953.068
|
872.605
|
951.542
|
Second Quarter
|
999.985
|
901.513
|
977.475
|
Third Quarter
|
1,078.409
|
989.535
|
1,073.786
|
Fourth Quarter
|
1,163.637
|
1,043.459
|
1,163.637
|
2014
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
Second Quarter
|
1,192.964
|
1,095.986
|
1,192.964
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
2015
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
2016
|
|
|
|
First Quarter
|
1,114.028
|
953.715
|
1,114.028
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
Third Quarter
|
1,263.438
|
1,139.453
|
1,251.646
|
Fourth Quarter
|
1,388.073
|
1,156.885
|
1,357.130
|
2017
|
|
|
|
First Quarter (through February 27, 2017)
|
1,410.344
|
1,345.744
|
1,407.970
|
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities
Russell 2000
®
Index Historical Performance – Daily Closing Levels*
January 3, 2012 to February 27, 2017
|
*The dotted line in the graph indicates the hypothetical
downside threshold level, equal to 60% of the closing level on February 27, 2017. The actual downside threshold level will be based
on the closing level on the pricing date.
License Agreement.
The “Russell 2000
®
Index” is a trademark of FTSE Russell and has been licensed for use by JPMorgan Chase Bank, National Association and its
affiliates. For more information, see “Equity Index Descriptions — The Russell Indices — Disclaimers”
in the accompanying underlying supplement.
JPMorgan Chase Financial Company LLC
Fixed Coupon Callable Securities due March 7, 2019
Based on the Worst Performing of the EURO STOXX 50
®
Index, the S&P 500
®
Index and the Russell 2000
®
Index
Principal at Risk Securities