You should read this pricing supplement together with
the accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes
of which these Securities are a part, and the more detailed information contained in the accompanying product supplement and the
accompanying underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of
the Securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials including
preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets,
brochures or other educational materials of ours.
You should carefully consider, among other things, the matters set forth
in the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying supplement, as
the Securities involve risks not associated with conventional debt securities.
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Final
Terms
|
Issuer:
|
|
JPMorgan Chase Financial Company LLC
|
Guarantor:
|
|
JPMorgan Chase & Co.
|
Issue Price:
|
|
$10.00 per Security (subject to a minimum purchase of 100 Securities or $1,000)
|
Principal Amount:
|
|
$10.00 per Security. The payment at maturity will be based on the principal amount.
|
Underlying:
|
|
S&P 500
®
Index
|
Term:
|
|
Approximately 4 years
|
Payment at Maturity (per $10 principal amount Security):
|
|
If the
Underlying Return is zero or positive,
JPMorgan Financial will pay
you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × the greater of
(i) the Step Return and (ii) the Underlying Return)
If the
Underlying Return is negative and the Final Value is greater than or equal to the Downside Threshold,
JPMorgan Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the
Underlying Return is negative and the Final Value is less than the Downside Threshold,
JPMorgan
Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return)
In this scenario, you will be exposed to the decline of
the Underlying and you will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return.
|
Underlying Return:
|
|
(Final Value – Initial Value)
Initial Value
|
Step Return:
|
|
35.50%
|
Initial Value:
|
|
The closing level of the Underlying on the Trade Date, which was 2,090.54
|
Final Value:
|
|
The closing level of the Underlying on the Final Valuation Date
|
Downside Threshold:
|
|
1,567.91, which is 75% of the Initial Value
|
Investment
Timeline
|
|
|
|
Trade Date
|
|
The Initial Value is observed. The Step Return is determined.
|
|
|
|
|
|
|
|
|
|
|
Maturity Date
|
|
The Final Value and the Underlying Return are determined.
If the
Underlying Return is zero or positive,
JPMorgan Financial will pay
you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × the greater of
(i) the Step Return and (ii) the Underlying Return)
If the
Underlying Return is negative and the Final Value is greater than or equal to the Downside Threshold,
JPMorgan
Financial will pay you a cash payment at maturity of $10.00 per $10 principal amount Security.
If the
Underlying Return is negative and the Final Value is less than the Downside Threshold,
JPMorgan Financial will pay you a cash payment at maturity per $10 principal amount Security equal to:
$10.00 + ($10.00 × Underlying Return).
Under these circumstances, you will be exposed to the decline
of the Underlying and you will lose some or all of your principal amount.
|
|
|
|
INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
|
What
Are the Tax Consequences of the Securities?
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. The following discussion, when
read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP,
regarding the material U.S. federal income tax consequences of owning and disposing of Securities.
Based on current market conditions, in the opinion of
our special tax counsel it is reasonable to treat the Securities as “open transactions” that are not debt instruments
for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax
Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying
product supplement. Assuming this treatment is respected, the gain or loss on your Securities should be treated as long-term capital
gain or loss if you hold your Securities for more than a year, whether or not you are an initial purchaser of Securities at the
issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or
loss on the Securities could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the Securities, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Securities,
including possible alternative treatments and the issues presented by this notice.
Withholding under legislation commonly referred to
as “FATCA” may (if the Securities are recharacterized as debt instruments) apply to amounts treated as interest paid
with respect to the Securities, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity,
of a Security. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any
amount treated as interest) with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser
regarding the potential application of FATCA to the Securities.
Non-U.S. holders should also note that recently promulgated
Treasury regulations imposing a withholding tax on certain “dividend equivalents” under certain “equity linked
instruments” will not apply to the Securities.
Key
Risks
An investment in the Securities involves significant
risks. Investing in the Securities is not equivalent to investing directly in the Underlying. These risks are explained in more
detail in the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying supplement.
We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Securities.
Risks Relating to the Securities Generally
|
♦
|
Your Investment in the Securities May Result in a Loss
— The Securities differ from ordinary debt securities in
that we will not necessarily repay the full principal amount of the Securities. If the Underlying Return is negative, we will pay
you the principal amount of your Securities in cash only if the Final Value has not declined below the Downside Threshold. If the
Underlying Return is negative and the Final Value is less than the Downside Threshold, you will be exposed to the full decline
of the Underlying and will lose some or all of your principal amount in an amount proportionate to the negative Underlying Return.
Accordingly, you could lose up to your entire principal amount.
|
|
♦
|
Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Securities are unsecured and
unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and
unconditionally guaranteed by JPMorgan Chase & Co. The Securities will rank
pari passu
with all of our other
unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank
pari passu
with
all of JPMorgan Chase & Co.’s other unsecured and unsubordinated obligations. The Securities and related guarantees
are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the Securities, including
any repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their
obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan Financial and JPMorgan Chase
& Co. may affect the market value of the Securities and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default
on their obligations, you may not receive any amounts owed to you under the terms of the Securities and you could lose your entire
investment.
|
|
♦
|
As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and 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.
|
|
♦
|
The Step Return Applies Only If You Hold the Securities to Maturity
— You should be willing to hold your Securities
to maturity. If you are able to sell your Securities prior to maturity in the secondary market, if any, the price you receive likely
will not reflect the full
|
|
|
economic value of the Step Return or the Securities
themselves, and the return you realize may be less than the Underlying’s return, even if that return is positive. You can
receive the full benefit of the Step Return from JPMorgan Financial only if you hold your Securities to maturity.
|
|
♦
|
The Contingent Repayment of Principal Applies Only If You Hold the Securities to Maturity
— If you are able to
sell your Securities in the secondary market, if any, prior to maturity, you may have to sell them at a loss relative to your initial
investment even if the closing level of the Underlying is above the Downside Threshold. If you hold the Securities to maturity,
JPMorgan Financial will repay your principal amount as long as the Final Value is not below the Downside Threshold. However, if
the Underlying Return is negative and the Final Value is less than the Downside Threshold, JPMorgan Financial will repay less than
the principal amount, if anything, resulting in a loss that is proportionate to the decline in the level of the Underlying from
the Initial Value to the Final Value. The contingent repayment of principal based on whether the Final Value is below the Downside
Threshold applies only at maturity.
|
|
♦
|
No Interest Payments
— JPMorgan Financial will not make any interest payments to you with respect to the Securities.
|
|
♦
|
Potential Conflicts
— We and our affiliates play a variety of roles in connection with the issuance of the Securities,
including acting as calculation agent and 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 when the terms of the Securities are set, 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. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading
activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely
affect any payment on the 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 Probability That the Final Value Will Fall Below the Downside Threshold on the Final Valuation Date Will Depend on the
Volatility of the Underlying
— “Volatility" refers to the frequency and magnitude of changes in the level
of the Underlying. Greater expected volatility with respect to the Underlying reflects a higher expectation as of the Trade Date
that the Underlying could close below its Downside Threshold on the Final Valuation Date of the Securities, resulting in the loss
of some or all of your investment. However, the Underlying’s volatility can change significantly over the term of the Securities.
The level of the Underlying could fall sharply, which could result in a significant loss of principal.
|
|
♦
|
The Estimated Value of the Securities Is Lower Than the Original Issue Price (Price to Public) of the Securities
—
The estimated value of the Securities is only an estimate determined by reference to several factors. The original issue price
of the Securities exceeds the estimated value of the Securities because costs associated with selling, structuring and hedging
the Securities are included in the original issue price of the Securities. These costs include the selling commissions, the 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 “The Estimated Value of the Securities”
in this pricing supplement.
|
|
♦
|
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 when the terms of the Securities are set. This estimated value of the Securities is based on market
conditions and other relevant factors existing at that time 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 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 “The Estimated Value of the
Securities” in this pricing supplement.
|
|
♦
|
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 “The Estimated Value of the Securities” in this pricing supplement.
|
|
♦
|
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, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary
market funding rates for structured debt issuances. See “Secondary Market Prices of the Securities” in this pricing
supplement 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 (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 “— Lack of Liquidity”
below.
|
♦
|
Many Economic and Market Factors
Will Impact the Value of the Securities
— As described under “The
Estimated Value of the Securities” in this pricing supplement, the Securities can be thought of as securities that combine
a fixed-income debt component with one or more derivatives. As a result, the factors that influence the values of fixed-income
debt and derivative instruments will also influence the terms of the Securities at issuance and their value in the secondary market.
Accordingly, 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, projected hedging profits, if any,
estimated hedging costs and the level of the Underlying, including:
|
|
♦
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
|
|
♦
|
customary bid-ask spreads for similarly sized trades;
|
|
♦
|
our internal secondary market funding rates for structured debt issuances;
|
|
♦
|
the actual and expected volatility in the level of the Underlying;
|
|
♦
|
the time to maturity of the Securities;
|
|
♦
|
the dividend rates on the equity securities included in the Underlying;
|
|
♦
|
interest and yield rates in the market generally; and
|
|
♦
|
a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally, independent pricing vendors and/or third
party broker-dealers may publish a price for the Securities, which may also be reflected on customer account statements. This price
may be different (higher or lower) than the price of the Securities, if any, at which JPMS may be willing to purchase your Securities
in the secondary market.
|
♦
|
Investing in the Securities Is Not Equivalent to Investing in the Stocks Composing the Underlying
— Investing
in the Securities is not equivalent to investing in the stocks included in the Underlying. As an investor in the Securities, you
will not have any ownership interest or rights in the stocks included in the Underlying,
such as voting rights, dividend payments or other distributions.
|
|
♦
|
We Cannot Control Actions by the Sponsor of the Underlying and That Sponsor Has No Obligation to Consider Your Interests
— We and our affiliates are not affiliated with the sponsor of the Underlying and have no ability to control or predict its
actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation
of the Underlying. The sponsor of the Underlying is not involved in this Security offering in any way and has no obligation to
consider your interest as an owner of the Securities in taking any actions that might affect the market value of your Securities.
|
|
♦
|
Your Return on the Securities Will Not Reflect Dividends on the Stocks Composing the Underlying
— Your return
on the Securities will not reflect the return you would realize if you actually owned the stock included in the Underlying and
received the dividends on the stock included in the Underlying. This is because the calculation agent will calculate the amount
payable to you at maturity of the Securities by reference to the Final Value, which reflects the closing level of the Underlying
on the Final Valuation Date without taking into consideration the value of dividends on the stock included in the Underlying.
|
|
♦
|
Lack of Liquidity
— The Securities will not be listed on any securities exchange. JPMS intends to offer to purchase
the Securities in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough
liquidity to allow you to trade or sell the Securities easily. Because other dealers are not likely to make a 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.
|
|
♦
|
Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates
— JPMS, UBS or
their affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding
the Securities, and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that
investors buy or hold investments linked to the Underlying and could affect the value of the Underlying, and therefore the market
value of the Securities.
|
|
♦
|
Tax Treatment
— Significant aspects of the tax treatment of the Securities are uncertain. You should consult your
tax adviser about your tax situation.
|
|
♦
|
Potential JPMorgan Financial Impact on the Market Price of the Underlying
— Trading or transactions by JPMorgan
Financial or its affiliates in the Underlying or in futures, options or other derivative products on the Underlying may adversely
affect the market value of the Underlying and, therefore, the market value of the Securities.
|
Risks Relating to the Underlying
|
♦
|
We Are Currently One of the Companies that Make Up the
Underlying
— JPMorgan Chase & Co. is currently
one of the companies that make up the Underlying. 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 Underlying and the Securities.
|
Hypothetical
Examples and Return Table
The following table and hypothetical examples below
illustrate the payment at maturity per $10.00 principal amount Security for a hypothetical range of Underlying Returns from -100.00%
to +100.00% on an offering of the Securities linked to a hypothetical Underlying, and assume a hypothetical Initial Value of 100,
a hypothetical Downside Threshold of 90 and a hypothetical Step Return of 20.00%. The hypothetical Initial Value of 100 has been
chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is based on the
closing level of the Underlying on the Trade Date and is specified on the cover of this pricing supplement. For historical data
regarding the actual closing levels of the Underlying, please see the historical information set forth under “The Underlying”
in this pricing supplement. The actual Downside Threshold and Step Return are specified on the cover of this pricing supplement.
The hypothetical payment at maturity examples set forth below are for illustrative purposes only and may not be the actual returns
applicable to a purchaser of the Securities. The actual payment at maturity may be more or less than the amounts displayed below
and will be determined based on the actual terms of the Securities, including the Initial Value, the Downside Threshold and the
Step Return and the Final Value on the Final Valuation Date. You should consider carefully whether the Securities are suitable
to your investment goals. The numbers appearing in the table below have been rounded for ease of analysis.
Final Value
|
Underlying Return (%)
|
Payment at Maturity ($)
|
Return at Maturity per
$10.00 issue price (%)
|
200.00
|
100.00%
|
$20.000
|
100.00%
|
190.00
|
90.00%
|
$19.000
|
90.00%
|
180.00
|
80.00%
|
$18.000
|
80.00%
|
170.00
|
70.00%
|
$17.000
|
70.00%
|
160.00
|
60.00%
|
$16.000
|
60.00%
|
150.00
|
50.00%
|
$15.000
|
50.00%
|
140.00
|
40.00%
|
$14.000
|
40.00%
|
130.00
|
30.00%
|
$13.000
|
30.00%
|
120.00
|
20.00%
|
$12.000
|
20.00%
|
110.00
|
10.00%
|
$12.000
|
20.00%
|
105.00
|
5.00%
|
$12.000
|
20.00%
|
100.00
|
0.00%
|
$12.000
|
20.00%
|
95.00
|
-5.00%
|
$10.000
|
0.00%
|
90.00
|
-10.00%
|
$10.000
|
0.00%
|
89.99
|
-10.01%
|
$8.999
|
-10.01%
|
80.00
|
-20.00%
|
$8.000
|
-20.00%
|
70.00
|
-30.00%
|
$7.000
|
-30.00%
|
60.00
|
-40.00%
|
$6.000
|
-40.00%
|
50.00
|
-50.00%
|
$5.000
|
-50.00%
|
40.00
|
-60.00%
|
$4.000
|
-60.00%
|
30.00
|
-70.00%
|
$3.000
|
-70.00%
|
20.00
|
-80.00%
|
$2.000
|
-80.00%
|
10.00
|
-90.00%
|
$1.000
|
-90.00%
|
0.000
|
-100.00%
|
$0.000
|
-100.00%
|
Example 1 — The level of the Underlying increases
by 10% from the Initial Value of 100 to the Final Value of 110.
Because the Underlying Return of 10% is positive but is less
than the Step Return of 20.00%, at maturity, JPMorgan Financial will pay you your principal amount
plus
a return equal to
the Step Return of 20.00%, resulting in a payment at maturity of $12.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × the greater of
(i) the Step Return and (ii) the Underlying Return)
$10.00 + ($10.00 × 20.00%) = $12.00
Example 2 — The level of the Underlying increases
by 50% from the Initial Value of 100 to the Final Value of 150.
Because the Underlying Return of 50% is greater than the Step
Return of 20.00%, at maturity, JPMorgan Financial will pay you your principal amount
plus
a return equal to the Underlying
Return of 50.00%, resulting in a payment at maturity of $15.00 per $10 principal amount Security, calculated as follows:
$10.00 + ($10.00 × the greater of
(i) the Step Return and (ii) the Underlying Return)
$10.00 + ($10.00 × 50.00%) = $15.00
Example 3 — The level of the Underlying decreases
by 5% from the Initial Value of 100 to the Final Value of 95.
Because the Underlying Return is negative and the Final Value
is greater than the Downside Threshold, at maturity, JPMorgan Financial will pay you your principal amount of $10.00 per $10 principal
amount Security.
Example 4 — The level of the Underlying decreases
by 60% from the Initial Value of 100 to the Final Value of 40.
Because the Underlying Return is -60% and the Final Value is
less than the Downside Threshold, at maturity, JPMorgan Financial will pay you a payment at maturity of $4.00 per $10 principal
amount Security, calculated as follows:
$10.00 + ($10.00 × Underlying Return)
$10.00 + ($10.00 × -60%) = $4.00
If the Underlying Return is negative and the
Final Value is less than the Downside Threshold, investors will be exposed to the negative Underlying Return at maturity, resulting
in a loss of principal that is proportionate to the Underlying’s decline from the Initial Value to the Final Value. Investors
could lose some or all of their principal amount.
The hypothetical returns and hypothetical payments
on the Securities shown above apply
only if you hold the Securities for their entire term.
These hypotheticals do not reflect
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
The
Underlying
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
S&P 500
®
Index, see the information set forth under “Equity Index Descriptions — The S&P U.S.
Indices” in the accompanying underlying supplement.
Historical Information
The following table sets forth the quarterly high and
low closing levels of the Underlying, based on daily closing levels of the Underlying as reported by the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The information given below is for the four calendar quarters
in each of 2011, 2012, 2013, 2014 and 2015 and the first calendar quarter of 2016. Partial data is provided for the second calendar
quarter of 2016. The closing level of the Underlying on May 25, 2016 was 2,090.54. We obtained the closing levels of the Underlying
above and below from Bloomberg, without independent verification. You should not take the historical levels of the Underlying as
an indication of future performance.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2011
|
|
3/31/2011
|
|
1,343.01
|
1,256.88
|
1,325.83
|
4/1/2011
|
|
6/30/2011
|
|
1,363.61
|
1,265.42
|
1,320.64
|
7/1/2011
|
|
9/30/2011
|
|
1,353.22
|
1,119.46
|
1,131.42
|
10/1/2011
|
|
12/31/2011
|
|
1,285.09
|
1,099.23
|
1,257.60
|
1/1/2012
|
|
3/31/2012
|
|
1,416.51
|
1,277.06
|
1,408.47
|
4/1/2012
|
|
6/30/2012
|
|
1,419.04
|
1,278.04
|
1,362.16
|
7/1/2012
|
|
9/30/2012
|
|
1,465.77
|
1,334.76
|
1,440.67
|
10/1/2012
|
|
12/31/2012
|
|
1,461.40
|
1,353.33
|
1,426.19
|
1/1/2013
|
|
3/31/2013
|
|
1,569.19
|
1,457.15
|
1,569.19
|
4/1/2013
|
|
6/30/2013
|
|
1,669.16
|
1,541.61
|
1,606.28
|
7/1/2013
|
|
9/30/2013
|
|
1,725.52
|
1,614.08
|
1,681.55
|
10/1/2013
|
|
12/31/2013
|
|
1,848.36
|
1,655.45
|
1,848.36
|
1/1/2014
|
|
3/31/2014
|
|
1,878.04
|
1,741.89
|
1,872.34
|
4/1/2014
|
|
6/30/2014
|
|
1,962.87
|
1,815.69
|
1,960.23
|
7/1/2014
|
|
9/30/2014
|
|
2,011.36
|
1,909.57
|
1,972.29
|
10/1/2014
|
|
12/31/2014
|
|
2,090.57
|
1,862.49
|
2,058.90
|
1/1/2015
|
|
3/30/2015
|
|
2,117.39
|
1,992.67
|
2,067.89
|
4/1/2015
|
|
6/30/2015
|
|
2,130.82
|
2,057.64
|
2,063.11
|
7/1/2015
|
|
9/30/2015
|
|
2,128.28
|
1,867.61
|
1,920.03
|
10/1/2015
|
|
12/31/2015
|
|
2,109.79
|
1,923.82
|
2,043.94
|
1/1/2016
|
|
3/31/2016
|
|
2,063.95
|
1,829.08
|
2,059.74
|
4/1/2016
|
|
5/25/2016
|
*
|
2,102.40
|
2,040.04
|
2,090.54
|
|
*
|
As of the date of this pricing supplement, available information for the second calendar quarter of 2016 includes data for
the period from April 1, 2016 through May 25, 2016. Accordingly, the “Quarterly Closing High,” “Quarterly Closing
Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the second
calendar quarter of 2016.
|
The graph below illustrates the daily performance of
the Underlying from January 3, 2006 through May 25, 2016, based on information from Bloomberg, without independent verification.
The dotted line represents the Downside Threshold of 1,567.91, equal to 75% of the closing level of the Underlying on May 25, 2016.
Past performance of the Underlying is not indicative
of the future performance of the Underlying.
The historical levels of the Underlying should not
be taken as an indication of future performance, and no assurance can be given as to the closing level of the Underlying on the
Final Valuation Date. We cannot give you assurance that the performance of the Underlying will result in the return of any of your
principal amount.