Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
Key
Terms
Issuer:
JPMorgan
Chase & Co.
Indices:
The
S&P 500
®
Index (Bloomberg ticker: SPX) and the Russell 2000
®
Index (Bloomberg ticker: RTY)
Interest Payments:
If the notes have not been redeemed early, you will receive
on each Interest Payment Date for each $1,000 principal amount note an Interest Payment of $5.8333 per month (equivalent to an
Interest Rate of 7.00% per annum, payable at a rate of 0.58333% per month).
Interest Rate:
7.00% per annum, payable at a rate of 0.58333% per month
Pricing
Date:
May 25, 2016
Original
Issue Date (Settlement Date):
On or about
May
31
, 2016
Review Date*:
August 28, 2017
Interest Payment
Dates*:
June 30, 2016, July 29, 2016, August 31, 2016, September 30,
2016, October 31, 2016, November 30, 2016, December 30, 2016, January 31, 2017, February 28, 2017, March 31, 2017, April 28, 2017,
May 31, 2017, June 30, 2017, July 31, 2017 and the Maturity Date
Maturity Date*:
August 31, 2017
Trigger Value:
With respect to each Index, 70.00% of its Initial Value
,
which is 1,463.378 for the S&P 500
®
Index and 798.7168 for the Russell 2000
®
Index
Call Dates*:
the November 30, 2016, February 28, 2017 and May 31, 2017 Interest
Payment Dates
* Subject to postponement in the event of a market
disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes
Linked to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
|
Lesser Performing
Index:
The Index with the Lesser Performing Index Return
Lesser Performing
Index Return:
The lower of the Index Returns of the Indices
Index Return:
With respect to each Index,
(Final
Value – Initial Value)
Initial Value
Initial Value:
With respect to each Index, the closing level of that Index on the
Pricing Date, which was 2,090.54 for the S&P 500
®
Index and 1,141.024 for the Russell 2000
®
Index.
Final Value:
With respect to each Index, the closing level of that Index on the
Review Date
Trigger Event:
A Trigger Event occurs if, on any day during the Monitoring Period,
the closing level of either Index is less than its Trigger Value
Monitoring
Period:
The period from but excluding the Pricing Date to and including
the Review Date
Early Redemption:
We, at our election, may redeem
the notes early, in whole but not in part, on any of the Call Dates at a price, for each $1,000 principal amount note, equal to
$1,000 plus any accrued and unpaid Interest Payment. If we intend to redeem your notes early, we will deliver notice to The Depository
Trust Company, or DTC, at least five business days before the applicable Call Date on which the notes are to be redeemed.
Payment at Maturity:
If the notes have not been redeemed early and (i) the Final
Value of each Index is greater than or equal to its Initial Value or (ii) a Trigger Event has not occurred, you will receive a
cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Interest Payment applicable to
the Maturity Date.
If the notes have not been redeemed early and (i) the Final
Value of either Index is less than its Initial Value and (ii) a Trigger Event has occurred, your payment at maturity per $1,000
principal amount note, in addition to the Interest Payment, will be calculated as follows:
$1,000 + ($1,000 × Lesser Performing
Index Return)
If the notes have not been redeemed early and (i) the Final
Value of either Index is less than its Initial Value and (ii) a Trigger Event has occurred, you will lose some or all of your principal
amount at maturity.
|
PS-
1
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
How
the Notes Work
Payment at Maturity If the Notes Have Not
Been Redeemed Early
Total Interest Payments
The table below illustrates the total Interest
Payments per $1,000 principal amount note over the term of the notes based on the Interest Rate of 7.00% per annum, depending on
how many Interest Payments are made prior to early redemption or maturity. If the notes have not been redeemed early, the hypothetical
total Interest Payments per $1,000 principal amount note over the term of the notes will be equal to the maximum amount shown in
the table below. The numbers appearing in the following table have been rounded for ease of analysis.
Number of Interest Payments
|
Total Interest Payments
|
15
|
$87.50
|
12
|
$70.00
|
9
|
$52.50
|
6
|
$35.00
|
3
|
$17.50
|
Hypothetical Payout Examples
The following examples illustrate payments on
the notes linked to two hypothetical Indices, assuming a range of performances for the hypothetical Lesser Performing Index on
the Review Date.
The hypothetical payments set forth below assume
the following:
|
·
|
The notes have not been redeemed early;
|
|
·
|
An Initial Value for the Lesser Performing Index of 100.00;
|
|
·
|
A Trigger Value for the Lesser Performing Index of 70.00
(equal to 70.00% of its hypothetical Initial Value); and
|
|
·
|
An Interest Rate of 7.00% per annum (payable at a rate of
0.58333% per month).
|
The hypothetical Initial Value of the Lesser Performing
Index of 100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value of either Index.
The actual Initial Value of each Index is the
closing level of that Index on the Pricing Date and is specified under “Key Terms – Initial Value” in this pricing
supplement. For historical data regarding the actual closing levels of each Index, please see the historical information set forth
under “The Indices” in this pricing supplement.
Each hypothetical payment set forth below is for
illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The numbers appearing in the
following examples have been rounded for ease of analysis.
PS-
2
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Example 1 — Notes have NOT been redeemed
early, the Final Value of the Lesser Performing Index is greater than or equal to its Initial Value and a Trigger Event has occurred
Date
|
Closing Level of Lesser Performing Index
|
|
Review Date
|
105.00
|
Final Value is greater than or equal to Initial Value
|
|
Total Payment
|
$1,087.50 (8.75% return)
|
Because the notes have not been redeemed early
and the Final Value of the Lesser Performing Index is greater than or equal to its Initial Value, even though a Trigger Event has
occurred, the payment at maturity, for each $1,000 principal amount note, will be $1,005.8333 (or $1,000
plus
the Interest
Payment applicable to the Maturity Date). When added to the Interest Payments received with respect to the prior Interest Payment
Dates, the total amount paid, for each $1,000 principal amount note, is $1,087.50.
Example 2 — Notes have NOT been redeemed
early, the Final Value of the Lesser Performing Index is less than its Initial Value and a Trigger Event has NOT occurred
Date
|
Closing Level of Lesser Performing Index
|
|
Review Date
|
90.00
|
Final Value is less than Initial Value
|
|
Total Payment
|
$1,087.50 (8.75% return)
|
Because the notes have not been redeemed early
and a Trigger Event has not occurred, even though the Final Value of the Lesser Performing Index is less than its Initial Value,
the payment at maturity, for each $1,000 principal amount note, will be $1,005.8333 (or $1,000
plus
the Interest Payment
applicable to the Maturity Date). When added to the Interest Payments received with respect to the prior Interest Payment Dates,
the total amount paid, for each $1,000 principal amount note, is $1,087.50.
Example 3 — Notes have NOT redeemed
early, the Final Value of the Lesser Performing Index is less than its Initial Value and a Trigger Event has occurred
Date
|
Closing Level of Lesser Performing Index
|
|
Review Date
|
50.00
|
Final Value is less than Initial Value
|
|
Total Payment
|
$587.50 (-41.25% return)
|
Because the notes have not been redeemed early,
the Final Value of the Lesser Performing Index is less than its Initial Value, a Trigger Event has occurred and the Lesser Performing
Index Return is -50.00%, the payment at maturity will be $500.00 per $1,000 principal amount note plus the Interest Payment then
due, calculated as follows.
[$1,000 × 50.00/ 100.00] + $5.8333 = $505.8333
When added to the Interest Payments received with
respect to the prior Interest Payment Dates, the total amount paid, for each $1,000 principal amount note, is $587.50.
The hypothetical returns and hypothetical payme
nts
on the notes shown above apply
only if you hold the notes for their entire term.
These hypotheticals do not reflect the
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the notes have not been redeemed early and (i) the Final Value of either Index is less than its Initial Value
and (ii) a Trigger Event has occurred, you will lose 1% of the principal amount of your notes for every 1% that the Final Value
of the Lesser Performing Index is less than its Initial Value. Accordingly, under these circumstances, you will lose some or all
of your principal amount at maturity.
PS-
3
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
|
·
|
CREDIT RISK OF JPMORGAN CHASE & CO. —
|
Investors are dependent on JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our creditworthiness or
credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If
we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your
entire investment.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF THE INTEREST PAYMENTS PAID OVER
THE TERM OF THE NOTES,
|
regardless of any appreciation in the
value of either Index, which may be significant. You will not participate in any appreciation in the value of either Index.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our economic interests are potentially adverse to your interests
as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the
notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to “Risk
Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement.
|
·
|
WE ARE CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500
®
INDEX,
|
but we will not have any obligation
to consider your interests in taking any corporate action that might affect the level of the S&P 500
®
Index.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH INDEX —
|
Poor performance by either of the Indices
over the term of the notes may negatively affect whether you will receive your payment at maturity and will not be offset or mitigated
by positive performance by the other Index.
|
·
|
YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LESSER PERFORMING INDEX.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON ANY DAY DURING THE MONITORING PERIOD
—
|
If, on any day during the Monitoring
Period, the closing level of either Index is less than its Trigger Value (
i.e.,
a Trigger Event occurs) and the notes have
not been redeemed early, the benefit provided by the Trigger Value will terminate and you will be fully exposed to any depreciation
in the closing level of the Lesser Performing Index. You will be subject to this potential loss of principal even if that Index
subsequently recovers such that the closing level of that Index is greater than or equal to its Trigger Value.
|
·
|
THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are redeemed early, the
term of the notes may be reduced to as short as six months and you will not receive any Interest Payments after the applicable
Call Date. There is no guarantee that you would be able to reinvest the proceeds from an investment in the notes at a comparable
return and/or with a comparable interest rate for a similar level of risk. Even in cases where the notes are called before maturity,
noteholders are not entitled to any fees and commissions described on the front cover of this pricing supplement.
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION
STOCKS WITH RESPECT TO THE RUSSELL 2000
®
INDEX —
|
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.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN EITHER INDEX OR HAVE ANY RIGHTS WITH
RESPECT TO THOSE SECURITIES.
|
|
·
|
THE RISK OF THE CLOSING LEVEL OF AN INDEX FALLING BELOW ITS TRIGGER VALUE IS GREATER IF THE LEVEL
OF THAT INDEX IS VOLATILE.
|
The notes will not be listed on any
securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
PS-
4
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES —
|
The estimated value of the notes is
only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value
of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price
of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize
for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under
the notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
|
See “The Estimated Value of the
Notes” in this pricing supplement.
|
·
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —
|
The internal funding rate used in the
determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding
value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison
to those costs for our conventional fixed-rate debt. The use of an internal funding rate and any potential changes to that rate
may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value
of the Notes” in this pricing supplement.
|
·
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS)
MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD —
|
We generally expect that some of the
costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of
your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See “Secondary Market Prices
of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated
value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be
shown on your customer account statements).
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
|
Any secondary market prices of the
notes will likely be lower than the original issue price of the notes 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 (b) may exclude projected hedging profits, if any, and estimated hedging costs that are included
in the original issue price of the notes. As a result, the price if any, at which JPMS will be willing to buy the notes 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.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
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, projected hedging profits, if any, estimated hedging costs and the values of the Indices. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may
be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
PS-
5
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
The
Indices
The S&P 500
®
Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information
about the Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
The Russell 2000
®
Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. For additional information about the Index, see “Equity
Index Descriptions — The Russell Indices” in the accompanying underlying supplement.
Historical Information
The following graphs set forth the historical
performance of each Index based on the weekly historical closing levels from January 7, 2011 through May 20, 2016. The closing
level of the S&P 500
®
Index on May 25, 2016 was 2,090.54. The closing level of the Russell 2000
®
Index on May 25, 2016 was 1,141.024. We obtained the closing levels below from the Bloomberg Professional
®
service
(“Bloomberg”), without independent verification.
The historical closing levels of each Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of either Index on the
Review Date. There can be no assurance that the performance of the Indices will result in the return of any of your principal amount
or the payment of any interest.
PS-
6
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Tax
Treatment
You should review carefully the section entitled
“Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. Based on the advice
of Sidley Austin
llp
, our special tax counsel, and on current market conditions,
in determining our reporting responsibilities we intend to treat the notes for U.S. federal income tax purposes as units each comprising:
(x) 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 and unpaid interest), requires you to pay us an amount
equal to $1,000 multiplied by the absolute value of the Lesser Performing Index Return and (y) a Deposit of $1,000 per $1,000 principal
amount note to secure your potential obligation under the Put Option. By purchasing the notes, you agree (in the absence of an
administrative determination or judicial ruling to the contrary) to follow this treatment and the allocation described in the following
paragraph. However, there are other reasonable treatments that the Internal Revenue Service (the “IRS”) or a court
may adopt, in which case the timing and character of any income or loss on the notes could be significantly and adversely affected.
In addition, in 2007, the Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax
treatment of “prepaid forward contracts” and similar instruments. While it is not clear whether the notes 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 notes, possibly with retroactive effect. The notice focuses on a number of issues, the most relevant of which
for holders of the notes are the 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. Holders should be subject to withholding tax.
In determining our reporting responsibilities,
we intend to treat 19.79% of each interest payment as interest on the Deposit and 80.21% of each interest payment as Put Premium.
Assuming that the treatment of the notes as units each comprising a Put Option and a Deposit is respected, amounts treated as interest
on the Deposit will be taxed as ordinary income, while the Put Premium will not be taken into account prior to sale or settlement,
including a settlement following an Early Redemption.
Non-U.S. Holders – Additional Tax
Consideration
Non-U.S. Holders should note that final Treasury
regulations were released on legislation that imposes a withholding tax of 30% on payments to certain foreign entities unless information
reporting and diligence requirements are met, as described in “Material U.S. Federal Income Tax Consequences-FATCA”
in the accompanying product supplement. Pursuant to the final regulations, such withholding tax will generally apply to obligations
that are issued on or after July 1, 2014; therefore, the notes will generally be subject to this withholding tax. However, the
withholding tax described above will not apply to payments of gross proceeds from the sale, exchange or other disposition (including
upon maturity) of the notes made before January 1, 2019.
PS-
7
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Both U.S. and Non-U.S. Holders should consult
their tax advisors regarding all aspects of the U.S. federal income tax consequences of an investment in the notes, including possible
alternative treatments and the issues presented by the 2007 notice. Purchasers who are not initial purchasers of notes at the issue
price should also consult their tax advisors with respect to the tax consequences of an investment in the notes, including possible
alternative treatments, as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
The
Estimated Value of the Notes
The estimated value of the notes set forth
on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income
debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative
or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price
at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate
used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates’ view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes
in comparison to those costs for our conventional fixed-rate debt. For additional information, see “Selected Risk Considerations
— The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. 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 notes could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from
you in secondary market transactions.
The estimated value of the notes is lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
PS-
8
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
Supplemental
Use of Proceeds
The notes are offered to meet investor demand
for products that reflect the risk-return profile and market exposure provided by the notes. See “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Indices” in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is
equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers,
plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes
In the opinion of Sidley Austin
LLP
,
as counsel to the Company, when the notes offered by this pricing supplement have been executed and issued by the Company and authenticated
by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding
obligations of the Company, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar
laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions
expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York and the General
Corporation Law of the State of Delaware as in effect on the date hereof. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and the genuineness of signatures and certain
factual matters, all as stated in the letter of such counsel dated April 22, 2016, which was filed as Exhibit 5.1 to the Company’s
Current Report on Form 8-K filed with the Securities and Exchange Commission on April 25, 2016.
Additional
Terms Specific to the Notes
You should read this pricing supplement together
with the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series E medium-term
notes of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the
accompanying underlying supplement. This pricing supplement, together with the documents listed below, contains the terms of the
notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary
or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures
or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk
Factors” sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other
advisers before you invest in the notes.
You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 19617. As used in this pricing supplement, “we,” “us” and “our” refer to JPMorgan Chase
& Co.
PS-
9
| Structured Investments
Callable Yield Notes Linked to the Lesser Performing of the S&P 500
®
Index and the Russell 2000
®
Index
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Aug 2024 to Sep 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Sep 2023 to Sep 2024