Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-209682 and
333-209682-01
Pricing Supplement to
the Prospectus and Prospectus Supplement, each dated April 15, 2016
,
the
Underlying Supplement No. 1-I dated April 15, 2016
and
the
Product Supplement No. 4-I dated April 15, 2016
JPMorgan
Chase Financial Company LLC
Medium-Term
Notes, Series A
$6,664,000
Capped Buffered Enhanced Participation Basket-Linked Notes due 2018
Fully and Unconditionally Guaranteed by
JPMorgan Chase & Co.
The notes do not bear interest.
The amount that you
will be paid on your notes on the stated maturity date (October 19, 2018, subject to adjustment) is based on the performance of
an unequally weighted basket (which we refer to as the basket) consisting of the EURO STOXX 50
®
Index (37.00% initial
weight), the FTSE
®
100 Index (23.00% initial weight), the TOPIX
®
Index (23.00% initial weight), the
Swiss Market Index (9.00% initial weight) and the S&P/ASX 200 Index (8.00% initial weight) as measured from and including the
trade date (April 19, 2017) to and including the determination date (October 16, 2018, subject to adjustment). The initial basket
level is 100 and the final basket level will equal the
sum
of the products, as calculated for each basket underlier, of:
(i) the closing level on the determination date
divided
by the initial basket underlier level
multiplied
by
(ii) the applicable initial weighted value for such basket underlier. If the final basket level on the determination date is greater
than the initial basket level, the return on your notes will be positive, subject to the maximum settlement amount of $1,305.60
for each $1,000 principal amount note. If the basket declines by up to 10.00% from the initial basket level to the final basket
level, you will receive the principal amount of your notes. If the basket declines by more than 10.00% from the initial basket
level to the final basket level, the return on your notes will be negative.
You could lose your entire investment in the notes.
Any payment on the notes is subject to the credit risk of JPMorgan Chase Financial Company LLC (“JPMorgan Financial”),
as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
To determine your payment at maturity, we will calculate the
basket return, which is the percentage increase or decrease in the final basket level from the initial basket level. On the stated
maturity date, for each $1,000 principal amount note, you will receive an amount in cash equal to:
|
·
|
if the basket return is
positive
(the final basket level is
greater than
the initial basket level), the
sum
of (i) $1,000
plus
(ii) the
product
of (a) $1,000
times
(b) 1.60
times
(c) the basket return, subject
to the maximum settlement amount;
|
|
·
|
if the basket return is
zero
or
negative
but
not below
-10.00% (the final basket level is
equal to
or less than
the initial basket level but not by more than 10.00%), $1,000; or
|
|
·
|
if the basket return is
negative
and is
below
-10.00% (the final basket level is
less than
the initial
basket level by more than 10.00%), the
sum
of (i) $1,000
plus
(ii) the
product
of (a) $1,000
times
(b) approximately 1.1111
times
(c) the
sum
of the basket return
plus
10.00%. You will receive less than $1,000.
|
A decrease in the level of one or more basket underliers
may offset increases in the levels of the other basket underliers. Due to the unequal weightings of the basket underliers, the
performances of the EURO STOXX 50
®
Index, the FTSE
®
100 Index and the TOPIX
®
Index
will have a significantly larger impact on your return on the notes than the performance of the Swiss Market Index or the S&P/ASX
200 Index.
Your investment in the notes involves certain risks,
including, among other things, our credit risk. See “Risk Factors” on page PS-10 of the accompanying product supplement,
“Risk Factors” on page US-2 of the accompanying underlying supplement and “Selected Risk Factors” on page
PS-16 of this pricing supplement.
The foregoing is only a brief summary of the terms of your
notes. You should read the additional disclosure provided herein so that you may better understand the terms and risks of your
investment.
The estimated value of the notes, when the terms of the
notes were set, was $996.50 per $1,000 principal amount note.
See “Summary Information — The Estimated Value
of the Notes” on page PS-8 of this pricing supplement for additional information about the estimated value of the notes and
“Summary Information — Secondary Market Prices of the Notes” on page PS-9 of this pricing supplement for information
about secondary market prices of the notes.
Original issue date (settlement date):
April 26, 2017
Original issue price:
100.00% of the principal amount
Underwriting commission/discount:
0.00% of the principal amount
Net proceeds to the issuer:
100.00% of the principal amount
See “Summary Information — Supplemental Use of Proceeds”
on page PS-9 of this pricing supplement for information about the components of the original issue price of the
notes.
J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Financial, will not receive selling commissions for these notes and will sell the notes to an unaffiliated
dealer at 100.00% of the principal amount.
See “Plan of Distribution (Conflicts of Interest)” on page PS-88
of the accompanying product supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this pricing
supplement, the accompanying product supplement, the accompanying underlying supplement, the accompanying prospectus supplement
or the accompanying prospectus. Any representation to the contrary is a criminal offense.
The notes 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.
Pricing Supplement dated April 19, 2017
The original issue price, fees and commissions and net proceeds listed
above relate to the notes we sell initially. We may decide to sell additional notes after the date of this pricing supplement,
at issue prices and with fees and commission and net proceeds that differ from the amounts set forth above. The return (whether
positive or negative) on your investment in notes will depend in part on the price you pay for your notes.
We may use this pricing supplement in the initial sale of the
notes. In addition, JPMS or any other affiliate of ours may use this pricing supplement in a market-making transaction in a note
after its initial sale.
Unless JPMS or its agents inform the purchaser otherwise in the confirmation of sale, this pricing
supplement is being used in a market-making transaction.
SUMMARY
INFORMATION
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 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 1665650,
and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our”
refer to JPMorgan Financial
Key Terms
Issuer:
JPMorgan Chase Financial Company LLC
Guarantor:
JPMorgan Chase & Co.
Basket underliers and initial weights:
Basket Underlier
|
Basket Underlier Sponsor
|
Bloomberg Ticker Symbol
|
Initial Weight
|
EURO STOXX 50
®
Index
|
STOXX Limited
|
SX5E <Index>
|
37.00%
|
FTSE
®
100 Index
|
FTSE International Limited
|
UKX <Index>
|
23.00%
|
TOPIX
®
Index
|
Tokyo Stock Exchange, Inc.
|
TPX <Index>
|
23.00%
|
Swiss Market Index
|
SIX Swiss Exchange
|
SMI <Index>
|
9.00%
|
S&P/ASX 200 Index
|
S&P Dow Jones Indices LLC
|
AS51 <Index>
|
8.00%
|
The accompanying product supplement refers to each basket
underlier as an “Underlying.”
Principal amount:
each note will have a principal amount
of $1,000; $6,664,000 in the aggregate for all the offered notes; the aggregate principal amount of the offered notes may be increased
if the issuer, at its sole option, decides to sell an additional amount of the offered notes on a date subsequent to the date of
this pricing supplement
Purchase at amount other than principal amount:
the
amount we will pay you at the stated maturity date for your notes will not be adjusted based on the price you pay for your notes,
so if you acquire notes at a premium to the principal amount and hold them to the stated maturity date, it could affect your investment
in a number of ways. The return on your investment in the notes will be lower than it would have been had you purchased the notes
at the principal amount. Also, the stated buffer level would not offer the same benefit to your investment as would be the case
if you had purchased the notes at the principal amount. Additionally, the cap level would be triggered at a lower percentage return
than indicated below, relative to your initial investment. See “Selected Risk Factors — If You Purchase Your Notes
at a Premium to the Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Principal
Amount and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected” on page PS-19 of this pricing supplement.
Payment on the stated maturity date:
for each $1,000
principal amount note, we will pay you on the stated maturity date an amount in cash equal to:
|
·
|
if the final basket level is
greater than
or
equal to
the cap level, the maximum settlement amount;
|
|
·
|
if the final basket level is
greater than
the initial basket level but
less than
the cap level, the
sum
of (i) $1,000
plus
(ii) the
product
of (a) $1,000
times
(b) the upside participation rate
times
(c)
the basket return;
|
|
·
|
if the final basket level is
equal to
or
less than
the initial basket level but
greater than
or
equal
to
the buffer level, $1,000; or
|
|
·
|
if the final basket level is
less than
the buffer level, the
sum
of (i) $1,000
plus
(ii) the
product
of (a) $1,000
times
(b) the buffer rate
times
(c) the
sum
of the basket return
plus
the buffer amount.
You will receive less than $1,000.
|
Initial basket level:
100
Initial weighted value:
the initial weighted value
for each of the basket underliers will equal the
product
of the initial weight of that basket underlier
times
the
initial basket level. The initial weight of each basket underlier is shown in the table below:
Basket Underlier
|
Initial Weight in Basket
|
EURO STOXX 50
®
Index
|
37.00%
|
FTSE
®
100 Index
|
23.00%
|
TOPIX
®
Index
|
23.00%
|
Swiss Market Index
|
9.00%
|
S&P/ASX 200 Index
|
8.00%
|
Initial basket underlier level:
with respect to each
basket underlier, the closing level of the basket underlier on the trade date, which was 3,420.99 for the EURO STOXX 50
®
Index, 7,114.36 for the FTSE
®
100 Index, 1,471.42 for the TOPIX
®
Index, 8,532.27 for the Swiss Market
Index and 5,804.01 for the S&P/ASX 200 Index
Final basket level:
the basket closing level of the
basket on the determination date
Basket closing level:
the basket closing level on any
relevant day will be the sum of the products of (i) the closing level of each basket underlier on that day
divided by
the
initial basket underlier level of that basket underlier
and
(ii) the initial weighted value of that basket underlier
Basket return:
the
quotient
of (i) the final
basket level
minus
the initial basket level
divided
by (ii) the initial basket level, expressed as a percentage.
Upside participation rate:
1.60
Cap level:
119.10% of the initial basket level
Maximum settlement amount:
$1,305.60
Buffer level:
90.00% of the initial basket level
Buffer amount:
10.00%
Buffer rate:
the
quotient
of the initial basket
level
divided
by the buffer level, which equals approximately 1.1111
Trade date:
April 19, 2017
Original issue date (settlement date):
April 26, 2017
Determination date:
October 16, 2018, 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” on page PS-47 of the accompanying product supplement
Stated maturity date:
October 19, 2018, subject to
postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement
of a Payment Date” on page PS-45 of the accompanying product supplement. The accompanying product supplement refers to the
stated maturity date as the “maturity date.”
No interest:
The offered notes do not bear interest.
No listing:
The offered notes will not be listed on
any securities exchange or interdealer quotation system.
No redemption:
The offered notes will not be subject
to redemption right or price dependent redemption right.
Closing level:
as described under “The Underlyings
— Indices — Level of an Index” on page PS-66 of the accompanying product supplement
Business day:
as described under “General Terms
of Notes — Postponement of a Payment Date” on page PS-45 of the accompanying product supplement
Scheduled trading day:
notwithstanding anything to
the contrary under “General Terms of Notes — Postponement of a Determination Date — Additional Defined Terms”
on page PS-49 of the accompanying product supplement, for the purposes of the notes offered by this pricing supplement, a “scheduled
trading day” means, (a) with respect to the EURO STOXX 50
®
Index or any relevant successor index (as defined
in the accompanying product supplement), a day, as determined by the calculation agent, on which (i) the Index Sponsor (as defined
in the accompanying product supplement) of the EURO STOXX 50
®
Index or that successor index, as applicable, is scheduled
to publish the closing level of the EURO STOXX 50
®
Index or that successor index, as applicable, and (ii) each exchange
or quotation system where trading has a material effect (as determined by the calculation agent) on the overall market for futures
or options contracts relating to the EURO STOXX 50
®
Index or that successor index, as applicable, is scheduled to
be open for trading for its regular trading session; or (b) with respect to each of the other basket underliers or any relevant
successor index, a day, as determined by the calculation agent, on which each of the following exchanges or quotation systems is
scheduled to be open for its regular trading session: (i) the relevant exchange (as defined in the accompanying product supplement)
for that basket underlier or successor index, as applicable, and (ii) each exchange or quotation system where trading has a material
effect (as determined by the calculation agent) on the overall market for futures or options contracts relating to that basket
underlier or successor index, as applicable.
Disrupted day:
notwithstanding anything to the contrary
under “General Terms of Notes — Postponement of a Determination Date — Additional Defined Terms” on page
PS-49 of the accompanying product supplement, for the purposes of the notes offered by this pricing supplement, a “disrupted
day” means, (a) with respect to the EURO STOXX 50
®
Index or any relevant successor index, (i) a day that is
not a scheduled trading day or (ii) a scheduled trading day on which (1) the closing level of the EURO STOXX 50
®
Index or that successor index, as applicable, is not calculated and published by the Index Sponsor of the EURO STOXX 50
®
Index or that successor index, as applicable, (2) any exchange or quotation system where trading has a material effect (as determined
by the calculation agent) on the overall market for futures or options contracts relating to the EURO STOXX 50
®
Index or that successor index, as applicable, fails to open for trading during its regular trading session or (3) a market disruption
event has occurred, or (b) with respect to each of the other basket underliers or any relevant successor index, (i) a day that
is not a scheduled trading day or (ii) a scheduled trading day on which (1) any of the following exchanges or quotation systems
fails to open for trading during its regular trading session: (x) the relevant exchange for that basket underlier or successor
index, as applicable, and (y) each exchange or quotation system where trading has a material effect (as determined by the calculation
agent) on the overall market for futures or options contracts relating to that basket underlier or successor index, as applicable,
or (2) a market disruption event has occurred.
Use of proceeds and hedging:
as described under “Use
of Proceeds and Hedging” on page PS-44 of the accompanying product supplement, as supplemented by “ — Supplemental
Use of Proceeds” below
Tax treatment:
You should review carefully the section
entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-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 notes.
Based on current market conditions, in the opinion of our
special tax counsel it is reasonable to treat the notes 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 notes should be treated as long-term capital gain or loss if you
hold your notes for more than a year, whether or not you are an initial purchaser of notes 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 notes 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 notes, possibly with retroactive effect. You should consult your
tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments
and the issues presented by this notice.
Withholding under legislation commonly referred to as “FATCA”
may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the notes.
Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated
as interest) of a taxable disposition, including redemption at maturity, of the notes. You should consult your tax adviser regarding
the potential application of FATCA to the notes.
ERISA:
as described under “Benefit Plan Investor
Considerations” on page PS-100 of the accompanying product supplement
Supplemental plan of distribution:
as described under
“Plan of Distribution (Conflicts of Interest)” on page PS-88 of the accompanying product supplement; we estimate that
our share of the total offering expenses will be approximately $10,000. We have agreed to sell to JPMS, and JPMS has agreed to
purchase from us, the aggregate principal amount of the notes specified on the front cover of this pricing supplement. JPMS proposes
initially to offer the notes to the public at the original issue price set forth on the cover page of this pricing supplement,
and to certain unaffiliated securities dealers at that price.
We will deliver the notes against payment therefor in New
York, New York on April 26, 2017, which is the fifth scheduled business day following the date of this pricing supplement and of
the pricing of the notes. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market
generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly,
purchasers who wish to trade notes on any date prior to three business days before delivery will be required, by virtue of the
fact that the notes will initially settle in five business days (T + 5), to specify alternative settlement arrangements to prevent
a failed settlement.
Conflicts of interest:
JPMS has a “conflict of
interest” within the meaning of FINRA Rule 5121 in any offering of the notes in which it participates because JPMorgan Chase
& Co. owns, directly or indirectly, all of the outstanding equity securities of JPMS, because JPMS and we are under common
control by JPMorgan Chase & Co. and because the net proceeds received from the sale of the notes will be used, in part, by
JPMS or its affiliates in connection with hedging our obligations under the notes. The offering of the notes will comply with the
requirements of Rule 5121 of Financial Industry Regulatory Authority, Inc. (“FINRA”) regarding a FINRA member firm’s
underwriting of securities of an affiliate. In accordance with FINRA Rule 5121, neither JPMS nor any other affiliated agent of
ours may make sales in the offering of the notes to any of its discretionary accounts without the specific written approval of
the customer.
Calculation agent:
JPMS
CUSIP no.:
46646QQP3
ISIN no.:
US46646QQP36
FDIC:
the notes are not bank deposits and are not insured
by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a
bank.
Supplemental Terms of the Notes
For purposes of the notes offered by this pricing supplement:
(a) any reference to “calculating the closing level
of that Index last in effect prior to the commencement of the market disruption event (or prior to the non-trading day)”
under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings”
in the accompanying product supplement will be deemed to refer to “calculating the closing level of that Index last in effect
prior to the commencement of the initial Disrupted Day”; and
(b) all references to each of the following terms used in
the accompanying product supplement will be deemed to refer to the corresponding term used in this pricing supplement, as set forth
in the table below:
Product Supplement Term
|
Pricing Supplement Term
|
Underlying
|
basket underlier
|
pricing date
|
trade date
|
maturity date
|
stated maturity date
|
term sheet
|
preliminary pricing supplement
|
In addition, the following terms used in this pricing supplement
are not defined in the accompanying product supplement: basket return, initial basket level, initial basket underlier level, final
basket level, initial weight, upside participation rate, maximum settlement amount, cap level, buffer level, buffer amount and
buffer rate. Accordingly, please refer to “Key Terms” on page PS-3 of this pricing supplement for the definitions of
these terms.
The Estimated Value of the Notes
The estimated value of the notes when the terms of the notes
are set, which we refer to as 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 the conventional
fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Selected Risk Factors — The Estimated
Value of the Notes Is Derived by Reference to an Internal Funding Rate” on page PS-17 of 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.
See “Selected Risk Factors — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May
Differ from Others’ Estimates” on page PS-17 of this pricing supplement.
The estimated value of the notes is lower than the original
issue price of the notes because costs associated with structuring and hedging the notes are included in the original issue price
of the notes. These costs include 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 realized in hedging our obligations under the
notes, if any, 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 Factors
— The Estimated Value of the Notes Is Lower Than the Original Issue Price of the Notes” on page PS-17 of this pricing
supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Factors — Secondary Market Prices of the Notes Will Be Impacted by Many
Economic and Market Factors” on page PS-18 of this pricing 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 the period from the trade date through July 19, 2017. 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 Factors — 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” on page PS-17 of
this pricing supplement.
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 “Hypothetical Examples” on page
PS-10 of this pricing supplement for an illustration of the risk-return profile of the notes and “The Basket and the Basket
Underliers” on page PS-21 of 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 (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 and the Guarantee
In
the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co., when
the notes offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee
pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations
of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable
in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts
of good faith, fair dealing and the lack of bad faith),
provided
that such counsel expresses no opinion as to the effect
of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion
is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of
Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the
trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding
nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated February
24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase &
Co. on February 24, 2016.
HYPOTHETICAL
EXAMPLES
The following table and chart are provided for purposes of
illustration only. They should not be taken as an indication or prediction of future investment results and are intended merely
to illustrate the impact that the various hypothetical basket closing levels or hypothetical closing levels of the basket underliers,
as applicable, on the determination date could have on the payment at maturity assuming all other variables remain constant.
The examples below are based on a range of final basket levels
and closing levels of the basket underliers that are entirely hypothetical; no one can predict what the basket closing level will
be on any day throughout the term of your notes, and no one can predict what the final basket level will be on the determination
date. The basket underliers have been highly volatile in the past — meaning that the levels of the basket underliers have
changed considerably in relatively short periods — and their performances cannot be predicted for any future period.
The information in the following examples reflects hypothetical rates
of return on the offered notes assuming that they are purchased on the original issue date at the principal amount and held to
the stated maturity date. If you sell your notes in a secondary market prior to the stated maturity date, your return will depend
upon the market value of your notes at the time of sale, which may be affected by a number of factors that are not reflected in
the table below, such as interest rates, the volatility of the basket underliers and our and JPMorgan Chase & Co.’s creditworthiness.
In addition, the estimated value of the notes is less than the original issue price. For more information on the estimated value
of the notes, see “Summary Information — The Estimated Value of the Notes” on page PS-8 of this pricing supplement.
The information in the table also reflects the key terms and assumptions in the box below.
Key Terms and Assumptions
|
Principal amount
|
$1,000
|
Upside participation rate
|
1.60
|
Cap level
|
119.10% of the initial basket level
|
Maximum settlement amount
|
$1,305.60
|
Buffer level
|
90.00% of the initial basket level
|
Buffer rate
|
approximately 1.1111
|
Buffer amount
|
10.00%
|
The originally scheduled determination date is not a disrupted
day with respect to any basket underlier
During the term of the notes, each basket underlier is not
discontinued, the method of calculating each basket underlier does not change in any material respect and each basket underlier
is not modified so that its level does not, in the opinion of the calculation agent, fairly represent the level of that basket
underlier had those modifications not been made
Notes purchased on original issue date at the principal amount
and held to the stated maturity date
|
For these reasons, the actual performance of the basket over
the term of your notes, as well as the amount payable at maturity, if any, may bear little relation to the hypothetical examples
shown below or to the historical level of each basket underlier shown elsewhere in this pricing supplement. For information about
the historical levels of each basket underlier during recent periods, see “The Basket and the Basket Underliers — Historical
Closing Levels of the Basket Underliers” below. Before investing in the offered notes, you should consult publicly available
information to determine the levels of the basket underliers between the date of this pricing supplement and the date of your purchase
of the offered notes.
Also, the hypothetical examples shown below do not take into
account the effects of applicable taxes. Because of the U.S. tax treatment applicable to your notes, tax liabilities could affect
the after-tax rate of return on your notes to a comparatively greater extent than the after-tax return on the basket underliers.
The levels in the left column of the table below represent hypothetical
final basket levels and are expressed as percentages of the initial basket level. The amounts in the right column represent the
hypothetical payments at maturity, based on the corresponding hypothetical
final basket level (expressed as a percentage of the initial basket level), and are expressed as percentages of the principal amount
of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical payment at maturity of 100.000% means that
the value of the cash payment that we would deliver for each $1,000 of the outstanding principal amount of the offered notes on
the stated maturity date would equal 100.000% of the principal amount of a note, based on the corresponding hypothetical final
basket level (expressed as a percentage of the initial basket level) and the assumptions noted above.
Hypothetical Final Basket Level
(as Percentage of Initial Basket Level)
|
Hypothetical Payment at Maturity
(as Percentage of Principal Amount)
|
150.000%
|
130.560%
|
140.000%
|
130.560%
|
130.000%
|
130.560%
|
120.000%
|
130.560%
|
119.100%
|
130.560%
|
110.000%
|
116.000%
|
105.000%
|
108.000%
|
102.500%
|
104.000%
|
100.000%
|
100.000%
|
95.000%
|
100.000%
|
90.000%
|
100.000%
|
80.000%
|
88.889%
|
75.000%
|
83.333%
|
50.000%
|
55.556%
|
25.000%
|
27.778%
|
0.000%
|
0.000%
|
If, for example, the final basket level were determined to
be 25.000% of the initial basket level, the payment that we would deliver on your notes at maturity would be approximately 27.778%
of the principal amount of your notes, as shown in the table above. As a result, if you purchased your notes on the original issue
date at the principal amount and held them to the stated maturity date, you would lose approximately 72.222% of your investment
(if you purchased your notes at a premium to principal amount you would lose a correspondingly higher percentage of your investment).
In addition, if the final basket level were determined to be 150.000% of the initial basket level, the payment that we would deliver
on your notes at maturity would be capped at the maximum settlement amount (expressed as a percentage of the principal amount),
or 130.560% of each $1,000 principal amount note, as shown in the table above. As a result, if you held your notes to the stated
maturity date, you would not benefit from any increase in the final basket level over 119.100% of the initial basket level.
The following chart also shows a graphical illustration of
the hypothetical payments at maturity (expressed as a percentage of the principal amount of your notes) that we would pay on your
notes on the stated maturity date, if the final basket level (expressed as a percentage of the initial basket level) were any of
the hypothetical levels shown on the horizontal axis. The chart shows that any hypothetical final basket level (expressed as a
percentage of the initial basket level) of less than 90.000% (the section left of the 90.000% marker on the horizontal axis) would
result in a hypothetical payment at maturity of less than 100.000% of the principal amount of your notes (the section below the
100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the holder of the notes. The chart also shows
that any hypothetical final basket level (expressed as a percentage of the initial basket level) of greater than or equal to 119.100%
(the section right of the 119.100% marker on the horizontal axis) would result in a capped return on your investment.
The following examples illustrate the hypothetical payment
at maturity on each $1,000 principal amount note based on hypothetical initial basket underlier levels, each of which we refer
to as an “initial level,” and closing levels of the basket underliers on the determination date, each of which we refer
to as a “final level,” calculated based on the key terms and assumptions above. The hypothetical initial level for
each basket underlier of 100.00 has been chosen for illustrative purposes only and does not represent the actual initial level
for that basket underlier. For historical data regarding the actual historical levels of the basket underliers, please see the
historical information set forth below under “The Basket and the Basket Underliers.” The levels in Column A represent
the hypothetical initial level for each basket underlier, and the levels in Column B represent hypothetical final levels for each
basket underlier. The percentages in Column C represent hypothetical final levels for each basket underlier in Column B expressed
as percentages of the corresponding hypothetical initial levels in Column A. The amounts in Column D represent the initial weighted
values of each basket underlier, and the amounts in Column E represent the
products
of the percentages in Column C
times
the corresponding amounts in Column D. The final basket level for each example is shown beneath each example, and will equal the
sum
of the five products shown in Column E. The basket return for each example is shown beneath the final basket level for
such example, and will equal the
quotient
of (i) the final basket level for such example
minus
the initial basket
level
divided
by (ii) the initial basket level, expressed as a percentage. The values below have been rounded for ease of
analysis.
Example 1: The final basket level is greater than the cap
level. The payment at maturity will equal the maximum settlement amount.
|
Column A
|
Column B
|
Column C
|
Column D
|
Column E
|
Basket
Underlier
|
Hypothetical
Initial Level
|
Hypothetical
Final Level
|
Column
B / Column A
|
Initial
Weighted Value
|
Column
C × Column D
|
EURO STOXX 50
®
Index
|
100.00
|
150.00
|
150%
|
37.00
|
55.50
|
FTSE
®
100 Index
|
100.00
|
150.00
|
150%
|
23.00
|
34.50
|
TOPIX
®
Index
|
100.00
|
150.00
|
150%
|
23.00
|
34.50
|
Swiss Market Index
|
100.00
|
150.00
|
150%
|
9.00
|
13.50
|
S&P/ASX 200 Index
|
100.00
|
150.00
|
150%
|
8.00
|
12.00
|
|
Final Basket Level:
|
150.00
|
|
Basket Return:
|
50.00%
|
In this example, all of the hypothetical final levels for the basket
underliers are greater than the applicable hypothetical initial levels, which results in the hypothetical final basket level being
greater than the initial basket level of 100.00. However, because the hypothetical final basket level of 150.00 is greater than
the cap level, the hypothetical payment at maturity will equal the maximum settlement amount of $1,305.60.
Example 2: The final basket level is greater than the initial
basket level but less than the cap level. The payment at maturity exceeds the $1,000 principal amount but is less than the maximum
settlement amount.
|
Column A
|
Column B
|
Column C
|
Column D
|
Column E
|
Basket
Underlier
|
Hypothetical
Initial Level
|
Hypothetical
Final Level
|
Column
B / Column A
|
Initial
Weighted Value
|
Column
C × Column D
|
EURO STOXX 50
®
Index
|
100.00
|
105.00
|
105%
|
37.00
|
38.85
|
FTSE
®
100 Index
|
100.00
|
105.00
|
105%
|
23.00
|
24.15
|
TOPIX
®
Index
|
100.00
|
105.00
|
105%
|
23.00
|
24.15
|
Swiss Market Index
|
100.00
|
105.00
|
105%
|
9.00
|
9.45
|
S&P/ASX 200 Index
|
100.00
|
105.00
|
105%
|
8.00
|
8.40
|
|
Final Basket Level:
|
105.00
|
|
Basket Return:
|
5.00%
|
In this example, all of the hypothetical
final levels for the basket underliers are greater than the applicable hypothetical initial levels, which results in the hypothetical
final basket level being greater than the initial basket level of 100.00. Because the hypothetical final basket level of 105.00
exceeds the initial basket level but is less than the cap level, the hypothetical payment at maturity will equal:
Payment at maturity = $1,000 + ($1,000
× 1.60 × 5.00%) = $1,080.00
Example 3: The final basket level is less than the initial
basket level but greater than the buffer level. The payment at maturity will equal the $1,000 principal amount.
|
Column A
|
Column B
|
Column C
|
Column D
|
Column E
|
Basket
Underlier
|
Hypothetical
Initial Level
|
Hypothetical
Final Level
|
Column
B / Column A
|
Initial
Weighted Value
|
Column
C × Column D
|
EURO STOXX 50
®
Index
|
100.00
|
95.00
|
95%
|
37.00
|
35.15
|
FTSE
®
100 Index
|
100.00
|
95.00
|
95%
|
23.00
|
21.85
|
TOPIX
®
Index
|
100.00
|
95.00
|
95%
|
23.00
|
21.85
|
Swiss Market Index
|
100.00
|
95.00
|
95%
|
9.00
|
8.55
|
S&P/ASX 200 Index
|
100.00
|
95.00
|
95%
|
8.00
|
7.60
|
|
Final Basket Level:
|
95.00
|
|
Basket Return:
|
-5.00%
|
In this example, all of the hypothetical final levels for the basket
underliers are less than the applicable hypothetical initial levels, which results in the hypothetical final basket level being
less than the initial basket level of 100.00. However, because the hypothetical final basket level of 95.00 is not less than the
buffer level, the hypothetical payment at maturity will equal the $1,000 principal amount.
Example 4: The final basket level is less than the buffer
level. The payment at maturity is less than the $1,000 principal amount.
|
Column A
|
Column B
|
Column C
|
Column D
|
Column E
|
Basket
Underlier
|
Hypothetical
Initial Level
|
Hypothetical
Final Level
|
Column
B / Column A
|
Initial
Weighted Value
|
Column
C × Column D
|
EURO STOXX 50
®
Index
|
100.00
|
40.00
|
40%
|
37.00
|
14.80
|
FTSE
®
100 Index
|
100.00
|
100.00
|
100%
|
23.00
|
23.00
|
TOPIX
®
Index
|
100.00
|
100.00
|
100%
|
23.00
|
23.00
|
Swiss Market Index
|
100.00
|
135.00
|
135%
|
9.00
|
12.15
|
S&P/ASX 200 Index
|
100.00
|
135.00
|
135%
|
8.00
|
10.80
|
|
Final Basket Level:
|
83.75
|
|
Basket Return:
|
-16.25%
|
In this example, the hypothetical final level of the EURO STOXX 50
®
Index is less than its hypothetical initial level, while the hypothetical final levels of the FTSE
®
100 Index
and the TOPIX
®
Index are equal to their applicable hypothetical initial levels and the hypothetical final levels
of the Swiss Market Index and S&P/ASX 200 Index are greater than their applicable initial levels.
Because the basket is unequally weighted, increases in the lower
weighted basket underliers will be offset by decreases in the more heavily weighted basket underliers. In this example, the large
decline in the EURO STOXX 50
®
Index results in the hypothetical final basket level being less than the buffer level
of 90.00% of the initial basket level, even though the FTSE
®
100 Index and the TOPIX
®
Index remained
flat and the Swiss Market Index and the S&P/ASX 200 Index increased.
Because the hypothetical final basket level of 83.75 is less
than the buffer level of 90.00% of the initial basket level, the hypothetical payment at maturity will equal:
Payment at maturity = $1,000 + [$1,000
× 1.1111 × (-16.25% + 10.00%)] = $930.56
Example 5: The final basket level is less than the buffer
level. The payment at maturity is less than the $1,000 principal amount.
|
Column A
|
Column B
|
Column C
|
Column D
|
Column E
|
Basket
Underlier
|
Hypothetical
Initial Level
|
Hypothetical
Final Level
|
Column
B / Column A
|
Initial
Weighted Value
|
Column
C × Column D
|
EURO STOXX 50
®
Index
|
100.00
|
150.00
|
150%
|
37.00
|
55.50
|
FTSE
®
100 Index
|
100.00
|
25.00
|
25%
|
23.00
|
5.75
|
TOPIX
®
Index
|
100.00
|
25.00
|
25%
|
23.00
|
5.75
|
Swiss Market Index
|
100.00
|
25.00
|
25%
|
9.00
|
2.25
|
S&P/ASX 200 Index
|
100.00
|
25.00
|
25%
|
8.00
|
2.00
|
|
Final Basket Level:
|
71.25
|
|
Basket Return:
|
-28.75%
|
In this example, although the hypothetical
final level for one of the basket underliers is greater than its applicable hypothetical initial level, the hypothetical final
levels of the other basket underliers decrease significantly from their hypothetical initial levels, which results in the hypothetical
final basket level being less than the buffer level. Because the hypothetical final basket level of 71.25 is less than the buffer
level, the hypothetical payment at maturity will equal:
Payment at maturity = $1,000 + [$1,000
× 1.1111 × (-28.75% + 10.00%)] = $791.67
The payments at maturity shown above are entirely hypothetical;
they are based on closing levels for the basket underliers that may not be achieved on the determination date and on assumptions
that may prove to be erroneous. The actual market value of your notes on the stated maturity date or at any other time, including
any time you may wish to sell your notes, may bear little relation to the hypothetical payments at maturity shown above, and these
amounts should not be viewed as an indication of the financial return on an investment in the offered notes. The hypothetical payments
at maturity on notes held to the stated maturity date in the examples above assume you purchased your notes at their principal
amount and have not been adjusted to reflect the actual price you pay for your notes. The return on your investment (whether positive
or negative) in your notes will be affected by the amount you pay for your notes. If you purchase your notes for a price other
than the principal amount, the return on your investment will differ from, and may be significantly lower than, the hypothetical
returns suggested by the above examples. Please read “Selected Risk Factors — Secondary Market Prices of the Notes
Will Be Impacted by Many Economic and Market Factors” on page PS-18 of this pricing supplement.
The hypothetical returns on the notes shown above apply
only
if you hold the notes 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 shown above would likely be
lower.
We cannot predict the actual final basket
level or what the market value of your notes will be on any particular day, nor can we predict the relationship between the level
of each basket underlier and the market value of your notes at any time prior to the stated maturity date. The actual amount that
you will receive, if any, at maturity and the rate of return on the offered notes will depend on the actual final basket level
determined by the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may
turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any, on the stated maturity
date may be very different from the information reflected in the table and chart above.
Selected
Risk Factors
An investment in your notes is
subject to the risks described below, as well as the risks described under the “Risk Factors” sections of the accompanying
product supplement and the accompanying underlying supplement. Your notes are a riskier investment than ordinary debt securities.
Also, your notes are not equivalent to investing directly in the underlier stocks, i.e., the stocks underlying the basket underliers
that compose the basket to which your notes are linked. You should carefully consider whether the offered notes are suited to your
particular circumstances.
You May Lose Some or All of Your Investment
in the Notes
The notes do not guarantee any return of principal. The return
on the notes at maturity is linked to the performance of the basket and will depend on whether, and the extent to which, the basket
return is positive or negative. Your investment will be exposed to loss on a leveraged basis if the final basket level is less
than the initial basket level by more than 10%. For every 1% that the final basket level is less than the initial basket level
by more than 10%, you will lose an amount equal to approximately 1.1111% of the principal amount of your notes. Accordingly, you
could lose some or all of your initial investment at maturity. Also, the market price of your notes prior to the stated maturity
date may be significantly lower than the purchase price you pay for your notes. Consequently, if you sell your notes before the
stated maturity date, you may receive far less than the amount of your investment in the notes.
Your Maximum Gain on the Notes Is Limited
to the Maximum Settlement Amount
If the final basket level is greater than the initial basket
level, for each $1,000 principal amount note, you will receive at maturity a payment that will not exceed the maximum settlement
amount, regardless of the appreciation in the basket, which may be significant. Accordingly, the amount payable on your notes may
be significantly less than it would have been had you invested directly in the basket underliers. The maximum settlement amount
is $1,305.60.
The Notes Are Subject to the Credit
Risks of JPMorgan Financial and JPMorgan Chase & Co.
The notes are subject to our and JPMorgan Chase & Co.’s
credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value
of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes.
Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by
the market for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase & Co.
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.
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 notes. If these affiliates do not make payments to us and we fail to make payments on the notes, 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.
Potential Conflicts of Interest
We and our affiliates play a variety of roles in connection
with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our
obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the
notes. Also, the distributor from which you purchase the notes may conduct hedging activities for us in connection with the notes.
In performing these duties, our and JPMorgan Chase & Co.’s economic interests, the economic interests of any distributor
performing such duties and the economic interests of
the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business activities,
and the business activities of any distributor from which you purchase the notes, 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 notes and the value of 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. If the distributor
from which you purchase notes is to conduct hedging activities for us in connection with the notes, that distributor may profit
in connection with such hedging activities and such profit, if any, will be in addition to the compensation that the distributor
receives for the sale of the notes to you. You should be aware that the potential to earn fees in connection with hedging activities
may create a further incentive for the distributor to sell the notes to you in addition to the compensation they would receive
for the sale of the notes. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” on page PS-16
of the accompanying product supplement for additional information about these risks.
The Estimated Value of the Notes Is
Lower Than the Original Issue Price 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 structuring and hedging the notes are included in the original issue price of the notes. These costs include 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 “Summary Information — The Estimated Value of the
Notes” on page PS-8 of this pricing supplement.
The Estimated Value of the Notes Does
Not Represent Future Values of the Notes and May Differ from Others’ Estimates
The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes 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 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 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 notes from
you in secondary market transactions. See “Summary Information — The Estimated Value of the Notes” on page PS-8
of 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
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 notes and any secondary market prices of the notes. See “Summary Information
— The Estimated Value of the Notes” on page PS-8 of 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. 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.
See “Summary Information — Secondary Market Prices of the Notes” on page
PS-9 of 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 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 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. See the immediately
following risk consideration for information about additional factors that will impact any secondary market prices of the 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. See “— Lack of Liquidity” on page
PS-20 of this pricing supplement.
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 projected hedging profits, if any, estimated hedging costs and the levels of the basket underliers, 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 of the basket underliers;
|
|
·
|
the time to maturity of the notes;
|
|
·
|
the dividend rates on the underlier stocks;
|
|
·
|
the actual or expected positive or negative correlation between the basket underliers, or the absence of any such correlation;
|
|
·
|
interest and yield rates in the market generally;
|
|
·
|
the exchange rates and the volatility of the exchange rates between the U.S. dollar and the currencies in which the underlier
stocks of the basket underliers are traded and the correlation between those rates and the closing levels of the basket underliers;
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 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.
We May Sell an Additional Aggregate
Principal Amount of the Notes at a Different Issue Price
At our sole option, we may decide to sell an additional aggregate
principal amount of the notes subsequent to the date of this pricing supplement. The issue price of the notes in the subsequent
sale
may differ substantially (higher or lower) from the original
issue price you paid as provided on the cover of this pricing supplement.
If You Purchase Your Notes at a Premium
to the Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Principal Amount
and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected
The amount you will be paid for your notes on the stated maturity
date will not be adjusted based on the price you pay for the notes. If you purchase notes at a price that differs from the principal
amount of the notes, then the return on your investment in the notes held to the stated maturity date will differ from, and may
be substantially less than, the return on notes purchased at the principal amount. If you purchase your notes at a premium to the
principal amount and hold them to the stated maturity date the return on your investment in the notes will be lower than it would
have been had you purchased the notes at the principal amount. In addition, the impact of the buffer level and the cap level on
the return on your investment will depend upon the price you pay for your notes relative to the principal amount. For example,
if you purchase your notes at a premium to the principal amount, the cap level will permit only a lower percentage increase in
your investment in the notes than would have been the case for notes purchased at the principal amount. Similarly, the buffer level,
while still providing an increase in the return on the notes if the final basket level is greater than or equal to the buffer level
but less than the cap level, will allow a greater percentage decrease in your investment in the notes than would have been the
case for notes purchased at the principal amount.
Correlation (or Lack of Correlation)
of the Basket Underliers
The notes are linked
to an unequally weighted basket. Performances of the basket underliers may or may not be correlated with each other. At a time
when the values of one or more of the basket underliers increases, the values of the other basket underliers may not increase as
much or may even decline. Therefore, in calculating the final basket level, increases in the value of one or more of the basket
underliers may be moderated, or more than offset, by the lesser increases or declines in the values of other basket underliers.
Further, because the basket underliers are unequally weighted, increases in the values of the lower-weighted basket underliers
may be offset by even smaller decreases in values of the more heavily weighted basket underliers. In addition, high correlation
of movements in the basket underliers during periods of negative returns among the basket underliers could have an adverse effect
on the payment at maturity on the notes. There can be no assurance that the final basket level will be higher than the initial
basket level.
No Interest or Dividend Payments or
Voting Rights
As a holder of the notes, you will not receive interest payments.
As a result, even if the amount payable for your notes on the stated maturity date exceeds the principal amount of your notes,
the overall return you earn on your notes may be less than you would have earned by investing in a non-basket-linked debt security
of comparable maturity that bears interest at a prevailing market rate. In addition, as a holder of the notes, you will not have
voting rights or rights to receive cash dividends or other distributions or other rights that holders of the underlier stocks would
have.
The Notes Do Not Provide Direct Exposure
to Fluctuations in Foreign Exchange Rates
The value of your notes will not be adjusted for exchange
rate fluctuations between the U.S. dollar and the currencies upon which the basket underlier stocks are based, although any currency
fluctuations could affect the performance of the basket underlier. Therefore, if the applicable currencies appreciate or depreciate
relative to the U.S. dollar over the term of the notes, you will not receive any additional payment or incur any reduction in your
payment at maturity.
The Notes Are Subject to Risks Associated
with Securities Issued by Non-U.S. Companies
The underlier stocks that compose the
basket
underliers
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 prices of securities in foreign markets may be affected by political, economic,
financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies
and currency exchange laws.
Lack of Liquidity
The notes will not be listed on any securities exchange. JPMS
intends to offer to purchase the notes 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 notes easily. Because other dealers are not likely to make
a secondary market for the notes, 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.
The Tax Consequences of an Investment
in the Notes Are Uncertain
There is no direct legal authority as to the proper U.S. federal
income tax characterization of the notes, and we do not intend to request a ruling from the IRS. The IRS might not accept, and
a court might not uphold, the treatment of the notes described in “Key Terms — Tax treatment” in this pricing
supplement and in “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement. If the IRS
were successful in asserting an alternative treatment for the notes, the timing and character of any income or loss on the notes
could differ materially and adversely from our description herein. In addition, in 2007 Treasury and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive
effect. You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying
product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes,
including possible alternative treatments and the issues presented by this notice.
THE BAsKET
AND the BASKET UnderlierS
The Basket
The basket is an unequally weighted basket composed of five indices
with the initial weights within the basket set forth in the table below:
Basket Underlier Information as of April 19, 2017
|
Basket Underlier
|
Bloomberg
Ticker Symbol
|
Initial Weight in Basket
|
Basket Underlier Closing Level
|
EURO STOXX 50
®
Index
|
SX5E
|
37.00%
|
3,420.99
|
FTSE
®
100 Index
|
UKX
|
23.00%
|
7,114.36
|
TOPIX
®
Index
|
TPX
|
23.00%
|
1,471.42
|
Swiss Market Index
|
SMI
|
9.00%
|
8,532.27
|
S&P/ASX 200 Index
|
AS51
|
8.00%
|
5,804.010
|
The EURO STOXX 50
®
Index
The EURO STOXX 50
®
Index consists of 50 component
stocks of market sector leaders from within the Eurozone. 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 notes 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. For additional information about the EURO STOXX 50
®
Index, see the information set forth under
“Equity Index Descriptions — The EURO STOXX 50
®
Index” on page US-23 of the accompanying underlying
supplement.
FTSE
®
100 Index
The FTSE
®
100 Index is an index calculated,
published and disseminated by FTSE Russell, a company owned wholly by London Stock Exchange Group plc. The FTSE
®
100 Index measures the composite price performance of stocks of the largest 100 companies (determined on the basis of market capitalization)
traded on the London Stock Exchange. For additional information about the FTSE
®
100 Index, see the information set
forth under “Equity Index Descriptions — The FTSE
®
100 Index” on page US-31 of the accompanying
underlying supplement.
The TOPIX
®
Index
The TOPIX
®
Index, also known as the Tokyo Stock
Price Index, is a capitalization weighted index of all the Japanese common stocks listed on the First Section of the Tokyo Stock
Exchange, Inc., which we refer to as the “TSE.” The TSE Japanese stock market is divided into two sections: the First
Section and the Second Section. Listings of stocks on the TSE are divided between these two sections, with stocks listed on the
First Section typically being limited to larger, longer established and more actively traded issues and the Second Section to smaller
and newly listed companies. For additional information about the TOPIX
®
Index, see the information set forth under
“Equity Index Descriptions — The TOPIX
®
Index” on page US-97 of the accompanying underlying supplement.
The Swiss Market Index
The Swiss Market Index (“SMI
®
”) is a free-float
adjusted market capitalization-weighted price return index of the Swiss equity market. The SMI
®
is sponsored, calculated,
maintained and published by SIX Swiss Exchange Ltd. The SMI
®
comprises the 20 most highly capitalized and liquid
stocks of the Swiss Performance Index
®
.
For additional information about the Swiss Market Index, see the
information set forth under “Equity Index Descriptions — The Swiss Market Index” on page US-95 of the accompanying
underlying supplement.
The S&P/ASX 200 Index
The S&P/ASX 200 Index measures the performance of the 200 largest
index-eligible stocks listed on the Australian Securities Exchange by float-adjusted market capitalization, and is widely considered
Australia’s benchmark index.
For additional information see the information about the S&P/ASX 200 Index, see the
information set forth under “Equity Index Descriptions — The S&P/ASX 200 Index” on page US-73 of the accompanying
underlying supplement.
Historical
Basket Levels
You should not take the historical levels of the basket
or the basket underliers as an indication of the future performance of the basket or the basket underliers, respectively.
We
cannot give you any assurance that the future performance of the basket, basket underliers or the underlier stocks will result
in a return of any of your initial investment on the stated maturity date. In light of the increased volatility currently being
experienced by the financial services sector and U.S. and global securities markets, and recent market declines, it may be substantially
more likely that you could lose all or a substantial portion of your investment in the notes.
Neither we nor any of our affiliates make any representation
to you as to the performance of the basket or the basket underliers. The actual performance of the basket or the basket underliers
over the term of the offered notes, as well as the amount payable at maturity, may bear little relation to the historical levels
shown below.
The following graph
is based on the basket closing levels for the period from
January 4, 2012
(the first
day in
2012
on which the closing levels of all basket underliers were published) through
April 19, 2017
, assuming that the basket closing level was 100 on
January 4,
2012
. We derived the basket closing levels based on the method of calculating the basket
closing level as described in this pricing supplement and on the closing levels of the relevant basket underliers on the relevant
dates. We obtained the closing levels reflected in the graph below from the Bloomberg Professional
®
service
(“Bloomberg”), without independent verification. The basket closing level has been normalized such that its hypothetical
level on
January 4, 2012
was 100. As noted in this pricing supplement, the initial
basket level was set at 100 on the trade date. The basket closing level can increase or decrease due to changes in the levels
of the basket underliers. The graph below is for illustrative purposes only.
Historical Closing Levels of the Basket
Underliers
The respective closing levels of the basket underliers have
fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in
the closing levels of the basket underliers during any period shown below is not an indication that the basket underliers are more
or less likely to increase or decrease at any time during the term of your notes.
The graphs below show the closing levels of the basket underliers
(other than the EURO STOXX 50
®
Index and the TOPIX
®
Index) on each day from January 3, 2012 through
April 19, 2017, the closing levels of the EURO STOXX 50
®
Index on each day from January 2, 2012 through April 19,
2017 and the closing levels of the TOPIX
®
Index on each day from January 4, 2012 through April 19, 2017. The closing
level of the EURO STOXX 50
®
Index on April 19, 2017 was 3,420.99. The closing level of the FTSE
®
100 Index on April 19, 2017 was 7,114.36. The closing level of the TOPIX
®
Index on April 19, 2017 was 1,471.42.
The closing level of the Swiss Market Index on April 19, 2017 was 8,532.27. The closing level of the S&P/ASX 200 Index on April
19, 2017 was 5,804.010. We obtained the closing levels above and in the graphs below from Bloomberg, without independent verification.
We and JPMorgan Chase & Co. have not authorized anyone
to provide any information other than that contained or incorporated by reference in this pricing supplement, the accompanying
underlying supplement, the accompanying product supplement and the accompanying prospectus supplement and prospectus with respect
to the notes offered by this pricing supplement and with respect to JPMorgan Financial or JPMorgan Chase & Co. We and JPMorgan
Chase & Co. take no responsibility for, and can provide no assurance as to the reliability of, any other information that others
may give you. This pricing supplement, together with the accompanying underlying supplement, the accompanying product supplement
and the accompanying prospectus supplement and prospectus, 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. The information
in this pricing supplement, the accompanying underlying supplement, the accompanying product supplement and the accompanying prospectus
supplement and prospectus may be accurate only as of the dates of each of these documents, respectively. This pricing supplement,
the accompanying underlying supplement, the accompanying product supplement and the accompanying prospectus supplement and prospectus
do not constitute an offer to sell or a solicitation of an offer to buy the notes in any circumstances in which such offer or solicitation
is unlawful.
TABLE OF CONTENTS
Pricing Supplement
Page
Summary Information
|
PS-3
|
Hypothetical Examples
|
PS-10
|
Selected Risk Factors
|
PS-16
|
The Basket and the Basket Underliers
|
PS-21
|
Product Supplement No. 4-I dated April 15,
2016
Description of Notes
|
PS-1
|
Estimated Value and Secondary Market Prices of the Notes
|
PS-8
|
Risk Factors
|
PS-10
|
Use of Proceeds and Hedging
|
PS-44
|
General Terms of Notes
|
PS-45
|
The Underlyings
|
PS-54
|
Material U.S. Federal Income Tax Consequences
|
PS-78
|
Plan of Distribution (Conflicts of Interest)
|
PS-88
|
Notice to Investors
|
PS-90
|
Benefit Plan Investor Considerations
|
PS-100
|
Underlying Supplement No. 1-I dated April
15, 2016
Supplemental Terms of Notes
|
US-1
|
Risk Factors
|
US-2
|
Equity Index Descriptions
|
US-21
|
The Dow Jones Industrial Average
TM
|
US-21
|
The EURO STOXX 50
®
Index
|
US-23
|
The EURO STOXX
®
Banks Index
|
US-27
|
The FTSE
®
100 Index
|
US-31
|
The JPX-Nikkei Index 400
|
US-33
|
The MSCI Indices
|
US-36
|
The MSCI 25/50 Indices
|
US-48
|
The NASDAQ-100 Index
®
|
US-53
|
The Nikkei 225 Index
|
US-58
|
The Russell Indices
|
US-62
|
The S&P/ASX 200
Index
|
US-73
|
The S&P Select Industry Indices
|
US-78
|
The S&P Select Sector Indices
|
US-85
|
The S&P U.S. Indices
|
US-89
|
The Swiss Market Index
|
US-95
|
The TOPIX
®
Index
|
US-97
|
Commodity Index Descriptions
|
US-100
|
The Bloomberg Commodity Indices
|
US-100
|
The S&P GSCI
®
Indices
|
US-111
|
Fund Descriptions
|
US-120
|
The iShares
®
20+ Year Treasury Bond ETF
|
US-120
|
The iShares
®
ETFs
|
US-124
|
The Market Vectors Gold Miners ETF
|
US-128
|
The Select Sector SPDR
®
Funds
|
US-132
|
The SPDR
®
EURO STOXX 50
®
ETF
|
US-134
|
The SPDR
®
Gold Trust
|
US-135
|
The SPDR
®
S&P 500
®
ETF Trust
|
US-136
|
The SPDR
®
S&P
®
Industry ETFs
|
US-137
|
The United States Oil Fund, LP
|
US-139
|
The Vanguard FTSE Emerging Markets ETF
|
US-140
|
The Vanguard Total Stock Market ETF
|
US-151
|
The WisdomTree Japan Hedged Equity Fund
|
US-157
|
Prospectus Supplement dated April 15, 2016
About This Prospectus Supplement
|
S-1
|
Foreign Currency Risks
|
S-2
|
Description of Notes of JPMorgan Chase & Co.
|
S-4
|
Description of Warrants of JPMorgan Chase & Co.
|
S-10
|
Description of Units of JPMorgan Chase & Co.
|
S-13
|
Description of Notes of JPMorgan Chase Financial Company LLC
|
S-16
|
Description of Warrants of JPMorgan Chase Financial Company LLC
|
S-22
|
United States Federal Taxation
|
S-27
|
Plan of Distribution (Conflicts of Interest)
|
S-28
|
Prospectus dated April 15, 2016
Where You Can Find More Information
|
1
|
JPMorgan Chase & Co.
|
2
|
JPMorgan Chase Financial Company LLC.
|
2
|
Consolidated Ratios of Earnings to Fixed Charges
|
3
|
Use of Proceeds
|
3
|
Important Factors That May Affect Future Results
|
4
|
Description of Debt Securities of JPMorgan Chase & Co.
|
6
|
Description of Warrants of JPMorgan Chase & Co.
|
12
|
Description of Units of JPMorgan Chase & Co.
|
15
|
Description of Purchase Contracts of JPMorgan Chase & Co.
|
17
|
Description of Debt Securities of JPMorgan Chase Financial Company LLC
|
19
|
Description of Warrants of JPMorgan Chase Financial Company LLC
|
27
|
Forms of Securities
|
33
|
Plan of Distribution (Conflicts of Interest)
|
37
|
Independent Registered Public Accounting Firm
|
40
|
Legal Matters
|
40
|
Benefit Plan Investor Considerations
|
40
|
$6,664,000
JPMorgan Chase Financial Company LLC
Capped Buffered Enhanced Participation Basket-Linked Notes due 2018
Medium-Term Notes, Series A
Fully and Unconditionally Guaranteed
by JPMorgan Chase & Co.
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