|
|
|
|
|
May 23, 2016
|
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan Chase Financial Company LLC
Structured Investments
$386,000
Digital Notes Linked to the iShares
®
MSCI Emerging Markets ETF due May 29, 2018
Fully and
Unconditionally Guaranteed by JPMorgan Chase & Co.
|
●
|
|
The notes are designed for investors who seek a fixed return of 19.25% at maturity if the Final Value of the iShares
®
Emerging Markets ETF is greater than or
equal to the Initial Value.
|
|
|
●
|
|
Investors should be willing to forgo interest and dividend payments and be willing to lose up to 85.00% of their principal amount at maturity.
|
|
|
●
|
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan
Chase & Co.
Any payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
|
|
|
●
|
|
Minimum denominations of $1,000 and integral multiples thereof.
|
|
|
●
|
|
The notes priced on May 23, 2016 and are expected to settle on or about May 26, 2016.
|
|
Investing in the notes involves a number of risks. See Risk Factors beginning on page PS-10 of the accompanying product supplement,
Risk Factors beginning on page US-2 of the accompanying underlying supplement and Selected Risk Considerations beginning on page PS-3 of this pricing supplement.
Neither the Securities and Exchange Commission (the SEC) nor any state securities commission has approved or disapproved of the notes or
passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
|
|
|
|
|
|
|
|
|
Price to Public (1)
|
|
Fees and Commissions (2)
|
|
Proceeds to Issuer
|
|
|
|
|
Per note
|
|
$1,000
|
|
$1.50
|
|
$998.50
|
|
|
|
|
Total
|
|
$386,000
|
|
$579
|
|
$385,421
|
(1) See Supplemental Use of Proceeds in this pricing
supplement for information about the components of the price to public of the notes.
(2) J.P.
Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $1.50 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See
Plan of Distribution (Conflicts of Interest) in the accompanying product supplement.
|
The estimated value of the notes, when the terms of the notes were set, was $988.40 per $1,000 principal amount note.
See The Estimated Value of the Notes in this pricing supplement for additional information.
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 no. 142 to product supplement no. 4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15,
2016
and the prospectus and prospectus supplement, each dated April 15, 2016
|
|
|
Key Terms
Issuer:
JPMorgan Chase
Financial Company LLC
Guarantor:
JPMorgan Chase & Co.
Fund:
The
iShares
®
Emerging Markets ETF (Bloomberg ticker: EEM)
Digital Return:
19.25%
Buffer Amount:
15.00%
Pricing Date:
May 23, 2016
Original Issue Date (Settlement Date):
On or about May 26, 2016
Observation Date*:
May 23, 2018
Maturity Date*:
May 29, 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 a Single Underlying Notes Linked to a Single Underlying (Other Than a Commodity Index) and General Terms of Notes Postponement of a Payment Date in the accompanying product supplement
Fund Return:
(Final Value Initial Value)
Initial Value
Initial Value:
The closing price of one share of the Fund on the
Pricing Date, which was $32.12
Final Value:
The closing price of
one share of the Fund on the Observation Date
Payment at Maturity:
If the Final Value is greater than or equal to the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Digital Return)
If the Final Value is less
than the Initial Value by up to the Buffer Amount, you will receive the principal amount of your notes at maturity.
If the Final Value is less than the Initial Value
by more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + [$1,000 ×
(Fund Return + Buffer Amount)]
If the Final Value is less than the Initial Value by more than the Buffer Amount, you will lose some or most of your principal
amount at maturity.
Share Adjustment Factor:
The Share Adjustment
Factor is referenced in determining the closing price of one share of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence of certain events affecting the Fund. See The
Underlyings Funds Anti-Dilution Adjustments in the accompanying product supplement for further information.
|
|
|
PS-1 | Structured
Investments
Digital Notes Linked to the iShares
®
MSCI Emerging Markets ETF
|
|
|
Hypothetical Payout Profile
The following table illustrates the hypothetical total return
at maturity on the notes. The total return as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical
total returns set forth below assume the following:
|
●
|
|
an Initial Value of $100.00;
|
|
●
|
|
a Digital Return of 19.25%; and
|
|
●
|
|
a Buffer Amount of 15.00%.
|
The hypothetical Initial Value of $100.00 has been chosen for illustrative purposes only and
does not represent the actual Initial Value. The actual Initial Value is the closing price of one share of the Fund on the Pricing Date and is specified under Key Terms Initial Value in this pricing supplement. For historical data
regarding the actual closing prices of one share of the Fund, please see the historical information set forth under The Fund in this pricing supplement.
Each hypothetical total return or hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at
maturity applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
|
|
|
|
|
|
|
Final Value
|
|
Fund Return
|
|
Total Return on the Notes
|
|
Payment at Maturity
|
$165.00
|
|
65.00%
|
|
19.25%
|
|
$1,192.50
|
$150.00
|
|
50.00%
|
|
19.25%
|
|
$1,192.50
|
$140.00
|
|
40.00%
|
|
19.25%
|
|
$1,192.50
|
$130.00
|
|
30.00%
|
|
19.25%
|
|
$1,192.50
|
$120.00
|
|
20.00%
|
|
19.25%
|
|
$1,192.50
|
$110.00
|
|
10.00%
|
|
19.25%
|
|
$1,192.50
|
$105.00
|
|
5.00%
|
|
19.25%
|
|
$1,192.50
|
$102.50
|
|
2.50%
|
|
19.25%
|
|
$1,192.50
|
$100.00
|
|
0.00%
|
|
19.25%
|
|
$1,192.50
|
$95.00
|
|
-5.00%
|
|
0.00%
|
|
$1,000.00
|
$90.00
|
|
-10.00%
|
|
0.00%
|
|
$1,000.00
|
$85.00
|
|
-15.00%
|
|
0.00%
|
|
$1,000.00
|
$84.99
|
|
-15.01%
|
|
-0.01%
|
|
$999.90
|
$80.00
|
|
-20.00%
|
|
-5.00%
|
|
$950.00
|
$70.00
|
|
-30.00%
|
|
-15.00%
|
|
$850.00
|
$60.00
|
|
-40.00%
|
|
-25.00%
|
|
$750.00
|
$50.00
|
|
-50.00%
|
|
-35.00%
|
|
$650.00
|
$40.00
|
|
-60.00%
|
|
-45.00%
|
|
$550.00
|
$30.00
|
|
-70.00%
|
|
-55.00%
|
|
$450.00
|
$20.00
|
|
-80.00%
|
|
-65.00%
|
|
$350.00
|
$10.00
|
|
-90.00%
|
|
-75.00%
|
|
$250.00
|
$0.00
|
|
-100.00%
|
|
-85.00%
|
|
$150.00
|
|
|
|
PS-2 | Structured
Investments
Digital Notes Linked to the iShares
®
MSCI Emerging Markets ETF
|
|
|
How the Notes Work
Upside
Scenario:
If the Final Value is greater than or equal to the Initial Value, investors will receive at maturity the
$1,000 principal amount note plus a return equal to the Digital Return of 19.25%.
●
|
|
If the closing price of one share of the Fund increases 10.00%, investors will receive at maturity a 19.25% return, or $1,192.50 per $1,000 principal amount note.
|
Par Scenario:
If the Final Value is less than the Initial Value by up to the Buffer Amount of 15.00%, investors will receive at maturity the principal amount of their notes.
Downside Scenario:
If the Final Value is less than the Initial Value by more than the Buffer Amount of 15.00%, investors will lose 1% of the principal amount of their notes for every 1%
that the Final Value is less than the Initial Value by more than the Buffer Amount.
●
|
|
For example, if the closing price of one share of the Fund declines 60.00%, investors will lose 45.00% of their principal amount and receive only $550.00 per $1,000 principal amount note at maturity.
|
The hypothetical returns and hypothetical payments on the notes shown above apply
only if you hold the notes for their entire term.
These hypotheticals do not
reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected Risk Considerations
An investment in the notes involves significant risks. These
risks are explained in more detail in the Risk Factors sections of the accompanying product supplement and underlying supplement.
●
|
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
|
The notes do not guarantee any
return of principal. If the Final Value is less than the Initial Value by more than 15.00%, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value by more than 15.00%. Accordingly, you
may lose up to 85.00% of your principal amount at maturity.
●
|
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE DIGITAL RETURN,
|
regardless of the appreciation in
the Fund, which may be significant.
●
|
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.
|
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.
We and our affiliates play a variety of roles in connection with
the notes. In performing these duties, our and JPMorgan Chase & Co.s economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates
in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to Risk Factors Risks Relating to Conflicts of Interest in the accompanying product
supplement.
●
|
|
THE NOTES DO NOT PAY INTEREST.
|
|
|
|
PS-3 | Structured
Investments
Digital Notes Linked to the iShares
®
MSCI Emerging Markets ETF
|
|
|
●
|
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE SECURITIES INCLUDED IN THE FUND OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES.
|
●
|
|
THERE ARE RISKS ASSOCIATED WITH THE FUND
|
The Fund is subject to management risk,
which is the risk that the investment strategies of the Funds investment adviser, the implementation of which is subject to a number of constraints, may not produce the intended results. These constraints could adversely affect the market
price of the shares of the Fund and, consequently, the value of the notes.
●
|
|
THE PERFORMANCE AND MARKET VALUE OF THE FUND, PARTICULARLY DURING PERIODS OF MARKET VOLATILITY, MAY NOT CORRELATE WITH THE PERFORMANCE OF THE FUNDS UNDERLYING INDEX AS WELL AS THE NET ASSET VALUE PER
SHARE
|
The Fund does not fully replicate its Underlying Index (as defined under The Fund below) and may hold
securities different from those included in the Underlying Index. In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of its Underlying Index. All of these factors may
lead to a lack of correlation between the performance of the Fund and its Underlying Index. In addition, corporate actions with respect to the equity securities underlying the Fund (such as mergers and spin-offs) may impact the variance between the
performances of the Fund and its Underlying Index. Finally, because the shares in the Fund are traded on NYSE Arca, Inc. and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset
value per share of the Fund.
During periods of market volatility, securities underlying the Fund may be unavailable in the secondary market, market
participants may be unable to calculate accurately the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and
redeem shares in the Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market value of
shares of the Fund may vary substantially from the net asset value per share of the Fund. For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of its Underlying Index as well as the net asset value per
share of the Fund, which could materially and adversely affect the value of the Notes in the secondary market and/or reduce your payment at maturity.
●
|
|
NON-U.S. SECURITIES RISK
|
The equity securities held by the Fund 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. 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.
●
|
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK
|
Because the prices of the equity
securities held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity
securities held by the Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of equity securities held by the Fund denominated in each of those
currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected and any payment on the notes may be reduced.
●
|
|
THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED
|
The calculation agent will make
adjustments to the Share Adjustment Factor for certain events affecting the shares of the Fund. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of the Fund. If an event occurs that
does not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
●
|
|
THE RISK OF THE CLOSING PRICE OF ONE SHARE OF THE FUND FALLING BELOW THE INITIAL VALUE BY MORE THAN THE BUFFER AMOUNT IS GREATER IF THE VALUE OF THE FUND IS VOLATILE.
|
The notes will not be listed on any securities exchange.
Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your notes to maturity.
|
|
|
PS-4 | Structured
Investments
Digital Notes Linked to the iShares
®
MSCI Emerging Markets ETF
|
|
|
●
|
|
THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES
|
The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes exceeds the
estimated value of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our
affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See The Estimated Value of the Notes in this pricing supplement.
●
|
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS ESTIMATES
|
See The Estimated Value of the Notes in this pricing supplement.
●
|
|
THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE
|
The internal funding rate used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates view
of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for 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 The Estimated Value of the Notes in this pricing supplement.
●
|
|
THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD
|
We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in
connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. See Secondary Market Prices of the Notes in this pricing supplement for additional information relating to
this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).
●
|
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES
|
Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market
prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and
estimated hedging costs that are included in the original issue price of the notes. As a result, the price if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the
original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you.
●
|
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS
|
The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify
each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the Fund. Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for
the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See Risk
Factors Risks Relating to the Estimated Value and Secondary Market Prices of the Notes Secondary market prices of the notes will be impacted by many economic and market factors in the accompanying product supplement.
|
|
|
PS-5 | Structured
Investments
Digital Notes Linked to the iShares
®
MSCI Emerging Markets ETF
|
|
|
The Fund
The
iShares
®
MSCI Emerging Markets ETF is an exchange-traded fund of iShares, Inc., which is a registered investment company that consists of numerous separate investment portfolios. The iShares
®
MSCI Emerging Markets ETF seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. The MSCI
Emerging Markets Index is a free-float adjusted average of the U.S. dollar values of all of the equity securities constituting the MSCI indices for selected emerging markets countries. On July 1, 2013, the name of the iShares
®
MSCI Emerging Markets ETF was changed from the iShares
®
MSCI Emerging Markets Index Fund to the current name. For additional information
about the iShares
®
MSCI Emerging Markets ETF, see Fund Descriptions The iShares
®
ETFs in the accompanying underlying
supplement.
Historical Information
The
following graph sets forth the historical performance of the Fund based on the weekly historical closing prices of one share of the Fund from January 7, 2011 through May 20, 2016. The closing price of one share of the Fund on May 23,
2016 was $32.12. We obtained the closing prices below from the Bloomberg Professional
®
service (Bloomberg), without independent verification. The closing prices below may have been
adjusted by Bloomberg for actions taken by the Fund, such as stock splits.
The historical closing prices of one share of the Fund should not be taken as an
indication of future performance, and no assurance can be given as to the closing price of one share of the Fund on the Observation Date. There can be no assurance that the performance of the Fund will result in the return of any of your principal
amount in excess of $150 per $1,000 principal amount note, subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.
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
|
|
|
PS-6 | Structured
Investments
Digital Notes Linked to the iShares
®
MSCI Emerging Markets ETF
|
|
|
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.
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 notes.
The Estimated Value of the Notes
The estimated value of the notes set forth on the cover of
this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the
derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The
internal funding rate used in the determination of the estimated value of the notes is based on, among other things, our and our affiliates view of the funding value of the notes as well as the higher issuance, operational and ongoing
liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see Selected Risk Considerations The Estimated Value of the Notes Is
Derived by Reference to an Internal Funding Rate in this pricing supplement.
The value of the derivative or derivatives underlying the economic terms of the
notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which
can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on
market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not represent future values of the notes
and may differ from others estimates. Different pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant
factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our 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.
The estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are
included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks
inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in
a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of our
affiliates will retain any remaining hedging profits. See Selected Risk Considerations The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see Risk Factors Risks Relating to the Estimated Value and Secondary Market Prices of the Notes Secondary market prices of the notes will be impacted by many economic and market factors in the
accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that
will decline to zero over an initial predetermined period. These costs can include projected hedging profits, if
|
|
|
PS-7 | Structured
Investments
Digital Notes Linked to the iShares
®
MSCI Emerging Markets ETF
|
|
|
any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be
the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the
estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See Selected Risk Considerations The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account
Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period in this pricing supplement.
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 Payout Profile and How the Notes Work in this pricing supplement for an illustration of the risk-return profile of the notes and
The Fund in this pricing supplement for a description of the market exposure provided by the notes.
The original issue price of the notes is equal to
the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our
obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity of the Notes 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 trustees 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.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the
accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series 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):
●
|
|
Product supplement no. 4-I dated April
15, 2016:
|
http://www.sec.gov/Archives/edgar/data/19617/000095010316012644/crt_dp64831-424b2.pdf
●
|
|
Underlying supplement no. 1-I dated April
15, 2016:
|
http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
●
|
|
Prospectus supplement and prospectus, each dated April
15, 2016:
|
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
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.
|
|
|
PS-8 | Structured
Investments
Digital Notes Linked to the iShares
®
MSCI Emerging Markets ETF
|
|
|
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Mar 2024 to Apr 2024
JP Morgan Chase (NYSE:JPM)
Historical Stock Chart
From Apr 2023 to Apr 2024