PRICING SUPPLEMENT NO. 151
Filed
Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-209682 and 333-209682-01
Dated May 24, 2016
JPMorgan Chase Financial Company LLC Trigger
Autocallable Contingent Yield Notes
$1,000,000 Linked to the Russell 2000
®
Index due
May 31, 2019
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
Trigger Autocallable Contingent Yield Notes are unsecured and unsubordinated debt securities issued by JPMorgan Chase Financial Company
LLC (JPMorgan Financial), the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. (each, a Note and collectively, the Notes), linked to the performance of a specific
underlying (the Underlying). If the closing level of the Underlying on a quarterly Observation Date is equal to or greater than the Coupon Barrier, JPMorgan Financial will make a Contingent Coupon payment with respect to that Observation
Date. Otherwise, no coupon will be payable with respect to that Observation Date. JPMorgan Financial will automatically call the Notes early if the closing level of the Underlying on any quarterly Observation Date (after an initial one year non-call
period) is equal to or greater than the Initial Value. If the Notes are called, JPMorgan Financial will pay the principal amount
plus
the Contingent Coupon for that Observation Date and no further amounts will be owed to you. If the Notes are
not called prior to maturity and the Final Value is equal to or greater than the Downside Threshold (which is the same level as the Coupon Barrier), JPMorgan Financial will make a cash payment at maturity equal to the principal amount of your Notes,
in addition to the Contingent Coupon. If the Notes are not called prior to maturity and the Final Value is less than the Downside Threshold, JPMorgan Financial will pay you less than the full principal amount, if anything, at maturity, resulting in
a loss on your principal amount that is proportionate to the decline in the Underlying from the Initial Value to the Final Value.
Investing in the Notes involves significant risks. You may lose some or all of your principal amount. Generally, a
higher Contingent Coupon Rate is associated with a greater risk of loss. The contingent repayment of principal applies only if you hold the Notes to maturity. Any payment on the Notes, including any repayment of principal, is subject to the
creditworthiness of JPMorgan Financial, as issuer of the Notes, and the creditworthiness of JPMorgan Chase & Co., as guarantor of the Notes. If JPMorgan Financial and JPMorgan Chase & Co. were to default on their payment
obligations, you may not receive any amounts owed to you under the Notes and you could lose your entire investment.
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Automatically Callable:
JPMorgan Financial will automatically call the Notes and pay you the principal amount
plus
the Contingent Coupon otherwise due for a quarterly Observation Date (after an initial
one-year non-call period) if the closing level of the Underlying on that quarterly Observation Date is equal to or greater than the Initial Value. No further payments will be made on the Notes.
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Contingent Coupon:
If the closing level of the Underlying on a quarterly Observation Date (including the Final Valuation Date) is equal to or greater than the Coupon Barrier, JPMorgan Financial will make a
Contingent Coupon payment with respect to that Observation Date. Otherwise, no coupon will be payable with respect to that Observation Date.
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Downside Exposure with
Contingent Repayment of Principal Amount at Maturity:
If by maturity the Notes have not been called and the Underlying closes at or above the Downside Threshold on the Final
Valuation Date, JPMorgan Financial will pay you the principal amount per Note at maturity, in addition to the Contingent Coupon. If by maturity, the Notes have not been called and the Underlying closes below the Downside Threshold on the Final
Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate to the decline in the Underlying from the Initial Value to the Final Value.
The contingent repayment of principal applies only if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.
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Trade Date
1
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May 24, 2016
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Original Issue Date (Settlement Date)
1
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May 31, 2016
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Observation Dates
2
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Quarterly (callable beginning May 24, 2017) (see page 5)
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Final Valuation Date
2
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May 24, 2019
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Maturity Date
2
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May 31, 2019
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1
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See Supplemental Plan of Distribution for more details on the expected Settlement Date.
The Initial Value is the closing le
vel of the Underlying on May 23
, 2016 and is not
the closing level of
the
Underlying on the Trade Date.
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2
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Subject to postponement in the event of a market disruption event and as described under General Terms of Notes Postponement of a Payment Date and 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) in the accompanying product supplement
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THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. JPMORGAN FINANCIAL IS NOT NECESSARILY
OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF JPMORGAN
FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO. YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.
YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER KEY RISKS BEGINNING ON PAGE 7 OF THIS PRICING SUPPLEMENT, UNDER RISK FACTORS
BEGINNING ON PAGE PS-10 OF THE ACCOMPANYING PRODUCT SUPPLEMENT AND UNDER RISK FACTORS BEGINNING ON PAGE US-2 OF THE ACCOMPANYING UNDERLYING SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND
UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
We are offering Trigger Autocallable Contingent Yield Notes linked to the Russell
2000
®
Index. The Notes are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof.
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Underlying
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Contingent
Coupon Rate
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Initial
Value*
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Downside
Threshold**
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Coupon
Barrier**
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CUSIP /
ISIN
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Russell
2000
®
Index (Bloomberg Ticker: RTY)
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8.00% per annum
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1,111.367
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777.957, which is 70% of the Initial Value
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777.957, which is 70% of the Initial Value
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46646W698 / US46646W6984
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*
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The Initial Value is the closing level of the Underlying on May 23, 2016 and is not the closing level of the Underlying on the Trade Date.
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**
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Rounded to three decimal places
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See Additional Information about JPMorgan Financial, JPMorgan Chase &
Co. and the Notes in this pricing supplement. The Notes will have the terms specified in the prospectus and the prospectus supplement, each dated April 15, 2016, product supplement no. UBS-1-I dated April 15, 2016, underlying
supplement no. 1-I dated April 15, 2016 and this pricing supplement.
The terms of the Notes as set forth in this pricing supplement, to the extent they differ or conflict with those set forth in the accompanying product supplement,
will supersede the terms set forth in that product 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 prospectus, the accompanying prospectus supplement, the accompanying product supplement and the
accompanying underlying supplement. Any representation to the contrary is a criminal offense.
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Price to Public
(1)
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Fees and Commissions
(2)
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Proceeds to Issuer
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Offering of Notes
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Total
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Per Note
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Total
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Per Note
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Total
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Per Note
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Notes linked to the
Russell 2000
®
Index
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$1,000,000
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$10
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$1,000,000
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$10
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(1)
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See Supplemental Use of Proceeds in this pricing supplement for information about the components of the price to public of the Notes.
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(2)
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All sales of the Notes will be made to certain fee-based advisory accounts for which UBS Financial Services Inc., which we refer to as UBS, is an investment advisor and UBS will act as placement agent. The purchase
price will be $10.00 per Note and UBS will forgo any commissions related to these sales. See Plan of Distribution (Conflicts of Interest) in the accompanying product supplement, as supplemented by Supplemental Plan of
Distribution in this pricing supplement.
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The estimated value of the Notes, when the terms of the Notes were set, was $9.905 per $10
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.
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UBS Financial Services Inc.
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Additional Information about
JPMorgan Financial, JPMorgan Chase & Co. and the Notes
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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.
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):
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Product supplement no. UBS-1-I dated April
15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012642/crt-dp64836_424b2.pdf
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Underlying supplement no. 1-I dated April
15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
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Prospectus supplement and prospectus, each dated April
15, 2016:
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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, the Issuer, JPMorgan Financial, we, us and our refer to JPMorgan Chase Financial Company LLC.
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Supplemental Terms of the
Notes
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For purposes of the accompanying product supplement, the Russell
2000
®
Index is an Index.
2
The Notes may be suitable for you if, among other considerations:
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You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have the same downside market risk as an investment in the Underlying.
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You accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
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You believe the Underlying will close at or above the Coupon Barrier on the Observation Dates and the Downside Threshold on the Final Valuation Date.
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You believe the Underlying will close at or above the Initial Value on one of the specified Observation Dates (after an initial one-year non-call period).
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You understand and accept that you will not participate in any appreciation of the Underlying and that your potential return is limited to the Contingent Coupons.
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You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Underlying.
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You are willing to invest in the Notes based on the Contingent Coupon Rate indicated on the cover hereof.
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You do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the stocks included in the Underlying.
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You are able and willing to invest in Notes that may be called early (after an initial one-year non-call period) or you are otherwise willing to hold the Notes to maturity.
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You accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large part on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is
willing to trade the Notes.
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You understand and accept the risks associated with the Underlying.
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You are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their
obligations, you may not receive any amounts due to you including any repayment of principal.
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The Notes may not be suitable for you if, among other considerations:
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You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial investment.
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You cannot tolerate a loss of all or a substantial portion of your investment and are unwilling to make an investment that may have the same downside market risk as an investment in the Underlying.
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You require an investment designed to provide a full return of principal at maturity.
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You do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
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You believe that the Underlying will decline during the term of the Notes and is likely to close below the Coupon Barrier on the Observation Dates and the Downside Threshold on the Final Valuation Date.
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You seek an investment that participates in the full appreciation of the Underlying or that has unlimited return potential.
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You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Underlying.
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You are not willing to invest in the Notes based on the Contingent Coupon Rate indicated on the cover hereof.
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You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings.
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You seek guaranteed current income from this investment or prefer to receive the dividends paid on the stocks included in the Underlying.
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You are unable or unwilling to hold Notes that may be called early (after an initial one-year non-call period), or you are otherwise unable or unwilling to hold the Notes to maturity or you seek an investment for which
there will be an active secondary market.
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You do not understand or accept the risks associated with the Underlying.
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You are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the Notes, including any repayment of principal.
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The suitability considerations identified above
are not exhaustive. Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisers
have carefully considered the suitability of an investment in the Notes in light of your particular circumstances. You should also review carefully the Key Risks section of this pricing supplement and the Risk Factors
sections of the accompanying product supplement and the accompanying underlying supplement for risks related to an investment in the Notes. For more information on the Underlying, please see the section titled The Underlying below.
3
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Issuer:
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JPMorgan Chase Financial Company LLC
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Guarantor:
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JPMorgan Chase & Co.
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Issue Price
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$10 per Note
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Underlying
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Russell 2000
®
Index
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Principal Amount
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$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
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Term
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Approximately 3 years, unless called earlier
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Automatic Call Feature
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The Notes will be called automatically if the closing level of the Underlying on any Observation Date (beginning May 24, 2017) is equal to or greater than the Initial Value. If the Notes are
called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount
plus
the Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be
made on the Notes.
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Contingent Coupon
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If the closing level of the Underlying is equal to or greater than the Coupon Barrier on any Observation Date,
we will pay you the Contingent Coupon for that Observation Date on the relevant Coupon Payment Date.
If the closing level of the Underlying is less than the Coupon
Barrier on any Observation Date, the Contingent Coupon for that Observation Date will not accrue or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
Each Contingent Coupon will be a fixed amount based on equal quarterly installments at the Contingent Coupon Rate, which is a per annum rate.
Contingent Coupon payments on the
Notes
are not guaranteed. We will not pay you the Contingent Coupon for any Observation Date on which the closing
level of
the
Underlying
is less than
the
Coupon Barrier.
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Contingent Coupon Rate
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8.00% per annum
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Contingent Coupon payments
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$0.20 per $10 principal amount Note
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Coupon Payment Dates
1
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2nd business day following the applicable Observation Date, except that the Coupon Payment Date for the Final Valuation Date is the Maturity Date
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Call Settlement Dates
1
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First Coupon Payment Date following the applicable Observation Date
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Payment at Maturity (per $10 Note)
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If the
Notes
are not automatically called and the
Final Value
is equal to or
greater than
the
Downside Threshold
,
we will pay you a cash payment at maturity per $10 principal amount Note equal to $10
plus
the Contingent Coupon otherwise due on the Maturity Date.
If the
Notes
are not automatically called and the
Final Value
is less than
the
Downside Threshold
,
we
will pay you a cash payment at maturity that is less than $10 per $10 principal amount Note resulting in a loss on your principal amount proportionate to the negative Underlying Return, equal to:
$10 × (1 + Underlying Return)
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Underlying Return
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Final Value Initial Value
Initial Value
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Initial Value
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The closing level of the Underlying on May 23, 2016, as specified on the cover of this pricing supplement.
The Initial Value is not the closing level
of the Underlying on
the
Trade Date.
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Final Value
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The closing level of the Underlying on the Final Valuation Date
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Downside Threshold
2
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A percentage of the Initial Value, as specified on the cover of this pricing supplement
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Coupon Barrier
2
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A percentage of the Initial Value, as specified on the cover of this pricing supplement
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1
See footnote 2 under Key Dates on the front
cover
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2
Rounded to three
decimal places
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The closing level of the Underlying (Initial Value) is observed and the Downside Threshold and
the Coupon Barrier are determined.
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The Contingent Coupon Rate is finalized.
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If the closing level of the Underlying is equal to or greater than the Coupon Barrier on any Observation Date,
JPMorgan Financial will pay you a Contingent Coupon on the Coupon Payment Date.
The Notes will also be called if the closing level of the Underlying on any Observation Date (after an initial one-year non-call period) is equal to
or greater than the Initial Value. If the Notes are called, JPMorgan Financial will pay you a cash payment per Note equal to the principal amount
plus
the Contingent Coupon otherwise due for the applicable Observation Date, and no further
payments will be made on the Notes.
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The Final Value is determined as of the Final Valuation Date.
If the Notes have not been called and the Final Value is equal to or greater
than the Downside Threshold, at maturity JPMorgan Financial will repay the principal amount equal to $10.00 per Note
plus
the Contingent Coupon otherwise due on the Maturity Date.
If the Notes have not been called and the Final Value is less than the Downside
Threshold, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount proportionate to the decline of the Underlying, equal to a return of:
$10 × (1 + Underlying Return) per Note
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INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE
CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR
ENTIRE INVESTMENT.
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Observation Dates and Coupon
Payment Dates
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Observation
Dates
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Coupon Payment Dates
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August 24, 2016
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August 26, 2016
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November 25,
2016
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November 29,
2016
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February 24,
2017
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February 28,
2017
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May 24, 2017
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May 26, 2017
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August 24, 2017
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August 28, 2017
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November 24,
2017
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November 28,
2017
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February 26,
2018
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February 28,
2018
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May 24, 2018
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May 29, 2018
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August 24, 2018
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August 28, 2018
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November 26,
2018
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November 28,
2018
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February 25,
2019
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February 27,
2019
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May 24, 2019 (the
Final Valuation Date)
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May 31, 2019 (the
Maturity Date)
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The
Notes are not callable until the fourth Observation Date, May 24, 2017.
Each of the Observation Dates, and therefore the Coupon Payment Dates,
is 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.
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What Are the Tax Consequences of
the Notes?
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You should review carefully the section entitled Material U.S. Federal Income Tax Consequences in the
accompanying product supplement no. UBS-1-I. In determining our reporting responsibilities we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any
Contingent Coupons as ordinary income, as described in the section entitled Material U.S. Federal Income Tax Consequences Tax Consequences to U.S. Holders Notes Treated as Prepaid Forward Contracts with Associated Contingent
Coupons in the accompanying product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or
a court may adopt.
Sale, Exchange or Redemption of a Note.
Assuming the treatment described above is respected, upon a sale or exchange of the
Notes (including redemption upon an automatic call or at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes, which should equal the amount
you paid to acquire the Notes (assuming Contingent Coupons are properly treated as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain or loss unless you hold the Notes for more than
one year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes
between the time your right to a Contingent Coupon is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible that proceeds received from
the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon payment could be treated as ordinary income. You should consult your tax adviser regarding this issue.
As described above, there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss
on the Notes could be materially 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 and the relevance of factors such as the nature of the underlying property to which the instruments are linked. 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 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.
Non-U.S. Holders
Tax Considerations
. The U.S. federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a position that Contingent Coupons are not subject to U.S. withholding tax (at least if an
applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your Notes is
effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged to
consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Notes in light of your particular circumstances.
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.
FATCA.
Withholding under legislation commonly referred to as
FATCA could apply to payments with respect to the Notes that are treated as U.S.-source fixed or determinable annual or periodical income (FDAP Income) for U.S. federal income tax purposes (such as interest, if
the Notes are recharacterized, in whole or in part, as debt instruments, or Contingent Coupons if they are otherwise treated as FDAP Income). If the Notes are recharacterized, in whole or in part, as debt instruments, withholding could also apply to
payments of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as FDAP Income)
with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential application of FATCA to the Notes.
In the event of any withholding on the Notes, we will not be required to pay any additional amounts with respect to amounts so withheld.
6
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Underlying.
These risks are explained in more detail in the Risk Factors sections of the accompanying product supplement and the accompanying underlying supplement. We also urge you to consult your investment, legal, tax, accounting and other
advisers before you invest in the Notes.
Risks Relating to the Notes Generally
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Your Investment in the Notes May Result in a Loss
The Notes differ from ordinary debt securities in that JPMorgan Financial will not necessarily repay the full principal amount of the Notes. If the Notes
are not called and the closing level of the Underlying has declined below the Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation of the Underlying from the Initial Value to the Final Value. In this case,
JPMorgan Financial will repay less than the full principal amount at maturity, resulting in a loss of principal that is proportionate to the negative Underlying Return. Under these circumstances, you will lose 1% of your principal for every 1% that
the Final Value is less than the Initial Value and could lose your entire principal amount. As a result, your investment in the Notes may not perform as well as an investment in a security that does not have the potential for full downside exposure
to the Underlying.
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
The Notes are unsecured and unsubordinated debt obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is
fully and unconditionally guaranteed by JPMorgan Chase & Co. The Notes will rank
pari passu
with all of our other unsecured and unsubordinated obligations, and the related guarantee JPMorgan Chase & Co. will rank
pari
passu
with all of JPMorgan Chase & Co.s other unsecured and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the
Notes, including any repayment of principal, depends on the ability of JPMorgan Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness of JPMorgan Financial
and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms of
the Notes and you could lose your entire investment.
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As a Finance Subsidiary, JPMorgan Financial Has No Independent Operations and Limited Assets
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance
and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments under loans made by us or other
intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet our obligations under the 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.
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You Are Not Guaranteed Any Contingent Coupons
We will not necessarily make periodic coupon payments on the Notes. If the closing level of the Underlying on an Observation Date is less than the Coupon
Barrier, we will not pay you the Contingent Coupon for that Observation Date, and the Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If the closing level of the Underlying is less than the Coupon Barrier on
each of the Observation Dates, we will not pay you any Contingent Coupon during the term of, and you will not receive a positive return on, your Notes. Generally, this non-payment of the Contingent Coupon coincides with a period of greater risk of
principal loss on your Notes.
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Return on the Notes Limited to the Sum of Any Contingent Coupons and You Will Not Participate in Any Appreciation of the Underlying
The return potential of the Notes is limited to the specified Contingent
Coupon Rate, regardless of the appreciation of the Underlying, which may be significant. In addition, the total return on the Notes will vary based on the number of Observation Dates on which the requirements for a Contingent Coupon have been met
prior to maturity or an automatic call. Further, if the Notes are called, you will not receive any Contingent Coupons or any other payments in respect of any Observation Dates after the Call Settlement Date. Because the Notes could be called as
early as the fourth Observation Date, the total return on the Notes could be minimal. If the Notes are not called, you may be subject to the risk of decline of the Underlying even though you are not able to participate in any potential
appreciation of the Underlying. Generally, the longer the Notes remain outstanding, the less likely it is that they will be automatically called, due to the decline in the level of the Underlying and the shorter time remaining for the level to
recover to or above the Initial Value on a subsequent Observation Date. As a result, the return on an investment in the Notes could be less than the return on a hypothetical direct investment in the Underlying. In addition, if the Notes are not
called and the Final Value is below the Downside Threshold, you will have a loss on your principal amount and the overall return on the Notes may be less than the amount that would be paid on a conventional debt security of JPMorgan Financial of
comparable maturity.
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Contingent Repayment of Principal Applies Only If You Hold the Notes to Maturity
If you are able to sell your Notes in the secondary market prior to maturity, you may have to sell them at a loss relative
to your initial investment even if the closing level of the Underlying is above the Downside Threshold. If by maturity the Notes have not been called, either JPMorgan Financial will repay you the full principal amount per Note, plus the Contingent
Coupon, or, if the Underlying closes below the Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate
to the decline of the Underlying from the Initial Value to the Final Value. This contingent repayment of principal applies only if you hold your Notes to maturity.
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7
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A Higher Contingent Coupon Rate and/or a Lower Coupon Barrier and/or Downside Threshold May Reflect Greater Expected Volatility of the Underlying, Which Is Generally Associated With a Greater Risk of Loss
Volatility is a measure of the degree of variation in the level of the Underlying over a period of time. The greater the expected volatility of the Underlying at the time the terms of the Notes are set, the greater the expectation is at that
time that the level of the Underlying could close below the Coupon Barrier on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon payments, or below the Downside Threshold on the Final Valuation Date, resulting in
the loss of a significant portion or all of your principal at maturity. In addition, the economic terms of the Notes, including the Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold, are based, in part, on the expected
volatility of the Underlying at the time the terms of the Notes are set, where a higher expected volatility will generally be reflected in a higher Contingent Coupon Rate than the fixed rate we would pay on conventional debt securities of the same
maturity and/or on otherwise comparable securities and/or a lower Coupon Barrier and/or a lower Downside Threshold as compared to otherwise comparable securities. Accordingly, a higher Contingent Coupon Rate will generally be indicative of a
greater risk of loss while a lower Coupon Barrier or Downside Threshold does not necessarily indicate that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity. You should be willing
to accept the downside market risk of each Underlying and the potential loss of some or all of your principal at maturity.
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Reinvestment Risk
If your Notes are called early, the holding period over which you would have the opportunity to receive any Contingent Coupons could be as short as approximately one year. There is no
guarantee that you would be able to reinvest the proceeds from an investment in the Notes at a comparable return and/or with a comparable interest rate for a similar level of risk in the event the Notes are called prior to the maturity date.
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Potential Conflicts
We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent and 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 when the terms of the Notes are set, which we refer to as the estimated value of the Notes. In performing these duties, our and JPMorgan Chase &
Co.s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes. In addition, our and JPMorgan Chase & Co.s business
activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.s economic interests to be adverse to yours and could adversely affect any payment on the 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. Please refer to Risk Factors Risks Relating to
Conflicts of Interest in the accompanying product supplement for additional information about these risks.
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Each Contingent Coupon Is Based Solely on the Closing Level of the Underlying on the Applicable Observation Date
Whether a Contingent Coupon will be payable with respect to an Observation Date will be
based solely on the closing level of the Underlying on that Observation Date. As a result, you will not know whether you will receive a Contingent Coupon until the related Observation Date. Moreover, because each Contingent Coupon is based solely on
the closing level of the Underlying on the applicable Observation Date, if the closing level of the Underlying is less than the Coupon Barrier, you will not receive any Contingent Coupon with respect to that Observation Date, even if the closing
level of the Underlying was higher on other days during the period before that Observation Date.
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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 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 The Estimated Value of the Notes in this pricing supplement.
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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 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 The Estimated Value of the
Notes in this pricing supplement.
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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.
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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
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8
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debt issuances. 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).
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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 factor for information about additional factors that will impact any secondary market prices of the Notes.
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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 below.
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Many Economic and Market Factors Will Impact the Value of the Notes
As described under The Estimated Value of the Notes in this pricing supplement, the Notes can be thought of as securities
that combine a fixed-income debt component with one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments will also influence the terms of the Notes at issuance and their value in the
secondary market. Accordingly, 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 level of the Underlying, including:
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any actual or potential change in our or JPMorgan Chase & Co.s creditworthiness or credit spreads;
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customary bid-ask spreads for similarly sized trades;
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our internal secondary market funding rates for structured debt issuances;
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the actual and expected volatility in the level of the Underlying;
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the time to maturity of the Notes;
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the likelihood of an automatic call being triggered;
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whether the closing level of the Underlying has been, or is expected to be, less than the Coupon Barrier on any Observation Date and whether the Final Value is expected to be less than the Downside Threshold;
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the dividend rates on the equity securities included in the Underlying;
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interest and yield rates in the market generally; and
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a variety of other economic, financial, political, regulatory and judicial events.
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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.
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Investing in the Notes Is Not Equivalent to Investing in the Stocks Composing the Underlying
Investing in the Notes is not equivalent to investing in the stocks included in the Underlying. As an investor
in the Notes, you will not have any ownership interest or rights in the stocks included in the Underlying, such as voting rights, dividend payments or other distributions.
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We Cannot Control Actions by the Sponsor of the Underlying and That Sponsor Has No Obligation to Consider Your Interests
We and our affiliates are not affiliated with the sponsor of the Underlying and have
no ability to control or predict its actions, including any errors in or discontinuation of public disclosure regarding methods or policies relating to the calculation of the Underlying. The sponsor of the Underlying is not involved in this Note
offering in any way and has no obligation to consider your interest as an owner of the Notes in taking any actions that might affect the market value of your Notes.
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Your Return on the Notes Will Not Reflect Dividends on the Stocks Composing the Underlying
Your return on the Notes will not reflect the return you would realize if you actually owned the stocks included
in the Underlying and received the dividends on the stock included in the Underlying. This is because the calculation agent will determine whether the Notes will be called and whether a Contingent Coupon is payable and will calculate the amount
payable to you at maturity of the Notes by reference to the closing level of the Underlying on the relevant Observation Date without taking into consideration the value of dividends on the stock included in the Underlying.
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No Assurances That the Investment View Implicit in the Notes Will Be Successful
While the Notes are structured to provide for Contingent Coupons if the Underlying does not close below the Coupon Barrier on
the Observation Dates, we cannot assure you of the economic environment during the term or at maturity of your Notes.
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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.
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Potentially Inconsistent Research, Opinions or Recommendations by JPMS, UBS or Their Affiliates
JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations that are
inconsistent with investing in or holding the Notes, and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy or hold the Underlying and could affect the level of the Underlying,
and therefore the market value of the Notes.
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Tax Treatment
Significant aspects of the tax treatment of the Notes are uncertain. You should consult your tax adviser about your tax situation.
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Potential JPMorgan Financial Impact on the Level of the Underlying
Trading or transactions by JPMorgan Financial or its affiliates in the Underlying and/or over-the-counter options, futures or other
instruments with returns linked to the performance of the Underlying may adversely affect the level of the Underlying and, therefore, the market value of the Notes.
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Risks Relating to the Underlying
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An Investment in the Notes is Subject to Risks Associated with Small Capitalization Stocks
The equity securities included in the Underlying are issued by companies with relatively small market
capitalization. The stock prices of smaller companies may be more volatile than stock prices of large capitalization companies. Small capitalization companies may be less able to withstand adverse economic, market, trade and competitive conditions
relative to larger companies. These companies tend to be less well-established than large market capitalization companies. Small capitalization companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could
be a factor that limits downward stock price pressure under adverse market conditions.
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The examples below illustrate the hypothetical payments on a Coupon Payment Date, upon an automatic call or at maturity under different
hypothetical scenarios for a $10.00 Note on an offering of the Notes linked to a hypothetical Underlying and assume an Initial Value of 100.000 and a Downside Threshold and Coupon Barrier of 70.000 (which is 70.00% of the hypothetical Initial Value)
and reflect the Contingent Coupon Rate of 8.00% per annum.* The hypothetical Initial Value has been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value, Downside Threshold and Coupon
Barrier are based on the closing level of the Underlying on May 23, 2016 and are specified on the cover of this pricing supplement. For historical data regarding the actual closing levels of the Underlying, please see the historical information
set forth under The Underlying in this pricing supplement.
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Principal Amount:
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$10.00
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Term:
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Approximately three years (unless earlier called)
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Hypothetical Initial Value:
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100.000
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Contingent Coupon Rate:
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8.00% per annum (or 2.00% per quarter)
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Observation Dates:
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Quarterly (callable after one year)
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Hypothetical Downside Threshold:
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70.000 (which is 70.00% of the hypothetical Initial Value)
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Hypothetical Coupon Barrier:
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70.000 (which is 70.00% of the hypothetical Initial Value)
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*
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The actual value of any Contingent Coupon payments you will receive over the term of the Notes and the actual value of the payment upon automatic call or at maturity applicable to your Notes may be more or less than the
amounts displayed in these hypothetical scenarios. The actual Initial Value and resulting Downside Threshold and Coupon Barrier of the Underlying are based on the closing level of the Underlying on May 23, 2016 and are specified on the cover of this
pricing supplement.
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The examples below are purely hypothetical and are not based on any specific offering of Notes linked to any specific Underlying.
These examples are intended to illustrate how the value of any payment on the Notes will depend on the closing level on the Observation Dates.
Example 1
Notes Are Automatically Called on the Fourth Observation Date
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Date
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Closing Level
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Payment (per Note)
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First Observation Date
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110.000 (at or above Initial Value; Notes NOT called because Observation Date is prior to the fourth Observation Date)
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$0.20 (Contingent Coupon)
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Second Observation Date
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60.000 (below Coupon Barrier)
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$0.00
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Third Observation Date
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65.000 (below Coupon Barrier)
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$0.00
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Fourth Observation Date
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110.000 (at or above Initial Value)
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$10.20 (Payment Upon Automatic Call)
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Total Payment:
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$10.40 (4.00% return)
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Although the closing level is above the Initial Value on the first Observation Date, the Notes are not called because the Notes cannot be
called before the fourth Observation Date. Because the Notes are automatically called on the fourth Observation Date, we will pay you on the applicable Call Settlement Date a total of $10.20 per Note, reflecting your principal amount
plus
the
applicable Contingent Coupon. When that amount is added to the Contingent Coupon payment of $0.20 received in respect of prior Observation Dates, we will have paid you a total of $10.40 per Note for a 4.00% total return on the Notes. No further
amounts will be owed on the Notes.
Example 2 Notes Are Automatically Called on the Fifth Observation Date
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Date
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Closing Level
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Payment (per Note)
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First Observation Date
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110.000 (at or above Coupon Barrier)
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$0.20 (Contingent Coupon)
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Second Observation Date
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105.000 (at or above Coupon Barrier)
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$0.20 (Contingent Coupon)
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Third Observation Date
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110.000 (at or above Coupon Barrier)
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$0.20 (Contingent Coupon)
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Fourth Observation Date
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90.000 (at or above Coupon Barrier; below Initial Value)
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$0.20 (Contingent Coupon)
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Fifth Observation Date
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110.000 (at or above Initial Value)
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$10.20 (Payment upon Automatic Call)
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Total Payment:
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$11.00 (10.00% return)
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Because the Notes are automatically called on the fifth Observation Date, we will pay you on the applicable Call Settlement Date a total
of $10.20 per Note, reflecting your principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $0.80 received in respect of prior Observation Dates, we will have paid you a total of
$11.00 per Note for a 10.00% total return on the Notes. No further amounts will be owed on the Notes.
Example 3 Notes Are NOT Automatically Called
and
the Final Value Is at or above the Downside Threshold
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Date
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Closing Level
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Payment (per Note)
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11
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First Observation Date
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110.000 (at or above Coupon Barrier)
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$0.20 (Contingent Coupon)
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Second Observation Date
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60.000 (below Coupon Barrier)
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$0.00
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Third Observation Date
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55.000 (below Coupon Barrier)
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$0.00
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Fourth Observation Date
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60.000 (below Coupon Barrier)
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$0.00
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Fifth to Eleventh Observation Dates
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Various (all below Coupon Barrier)
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$0.00
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Final Valuation Date
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85.000 (at or above Downside Threshold; below Initial Value)
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$10.20 (Payment at Maturity)
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Total Payment:
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$10.40 (4.00% return)
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At maturity, we will pay you a total of $10.20 per Note, reflecting your principal amount
plus
the applicable Contingent Coupon.
When that amount is added to the Contingent Coupon payment of $0.20 received in respect of prior Observation Dates, we will have paid you a total of $10.40 per Note for a 4.00% total return on the Notes.
Example 4 Notes Are NOT Automatically Called
and
the Final Value Is below the Downside Threshold
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Date
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Closing Level
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Payment (per Note)
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First Observation Date
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110.000 (at or above Coupon Barrier)
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$0.20 (Contingent Coupon)
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Second Observation Date
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95.000 (at or above Coupon Barrier)
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$0.20 (Contingent Coupon)
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Third Observation Date
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85.000 (at or above Coupon Barrier)
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$0.20 (Contingent Coupon)
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Fourth Observation Date
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90.000 (at or above Coupon Barrier; below Initial Value)
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$0.20 (Contingent Coupon)
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Fifth to Eleventh Observation Dates
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Various (all at or above Coupon Barrier; below Initial Value)
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$1.40 (Contingent Coupon)
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Final Valuation Date
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55.000 (below Downside Threshold)
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$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -45%) =
$10.00 × 55%
=
$5.50 (Payment at Maturity)
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Total Payment:
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$7.70 (-23.00% return)
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Because the Notes are not automatically called, the Final Value is below the Downside Threshold and the Underlying Return is -45%, at
maturity we will pay you $5.50 per Note. When that amount is added to the Contingent Coupon payments of $2.20 received in respect of prior Observation Dates, we will have paid you $7.70 per Note for a loss on the Notes of 23.00%.
Example 5 Notes Are NOT Automatically Called
and
the Final Value is below the Downside Threshold
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Date
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Closing Level
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Payment (per Note)
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First Observation Date
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60.000 (below Coupon Barrier)
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$0.00
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Second Observation Date
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50.000 (below Coupon Barrier)
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$0.00
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Third Observation Date
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55.000 (below Coupon Barrier)
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$0.00
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Fourth Observation Date
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60.000 (below Coupon Barrier)
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$0.00
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Fifth to Eleventh Observation Dates
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Various (all below Coupon Barrier)
|
|
$0.00
|
Final Valuation Date
|
|
50.000 (below Downside Threshold)
|
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -50%) =
$10.00 × 50%
=
$5.00 (Payment at Maturity)
|
|
|
|
|
|
Total Payment:
|
|
$5.00 (-50.00% return)
|
Because the Notes are not automatically called, the Final Value is below the Downside Threshold and the Underlying Return is -50%, at
maturity we will pay you $5.00 per Note for a loss on the Notes of 50.00%. Because there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on the Notes.
The hypothetical returns and hypothetical payments on the Notes shown above
apply only if you hold the Notes for their entire term or until automatically called
.
These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
12
The Russell 2000
®
Index consists of the middle 2,000 companies
included in the Russell 3000E Index and, as a result of the index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000
®
Index, see the information set forth under Equity Index Descriptions The Russell Indices in the accompanying underlying supplement.
The following table sets forth the quarterly high and low closing levels of the Underlying, based on daily closing levels
of the Underlying as reported by the Bloomberg Professional
®
service (Bloomberg), without independent verification. This information given below is for the four calendar quarters
in each of 2011, 2012, 2013, 2014 and 2015 and the first calendar quarter of 2016. Partial data is provided for the second calendar quarter of 2016. The closing level of the Underlying on May 24, 2016 was 1,135.307. We obtained the closing
levels of the Underlying above and below from Bloomberg, without independent verification. You should not take the historical levels of the Underlying as an indication of future performance.
|
|
|
|
|
|
|
|
|
Quarter Begin
|
|
Quarter End
|
|
Quarterly High
|
|
Quarterly Low
|
|
Close
|
1/1/2011
|
|
3/31/2011
|
|
843.549
|
|
773.184
|
|
843.549
|
4/1/2011
|
|
6/30/2011
|
|
865.291
|
|
777.197
|
|
827.429
|
7/1/2011
|
|
9/30/2011
|
|
858.113
|
|
643.421
|
|
644.156
|
10/1/2011
|
|
12/31/2011
|
|
765.432
|
|
609.490
|
|
740.916
|
1/1/2012
|
|
3/31/2012
|
|
846.129
|
|
747.275
|
|
830.301
|
4/1/2012
|
|
6/30/2012
|
|
840.626
|
|
737.241
|
|
798.487
|
7/1/2012
|
|
9/30/2012
|
|
864.697
|
|
767.751
|
|
837.450
|
10/1/2012
|
|
12/31/2012
|
|
852.495
|
|
769.483
|
|
849.350
|
1/1/2013
|
|
3/31/2013
|
|
953.068
|
|
872.605
|
|
951.542
|
4/1/2013
|
|
6/30/2013
|
|
999.985
|
|
901.513
|
|
977.475
|
7/1/2013
|
|
9/30/2013
|
|
1,078.409
|
|
989.535
|
|
1,073.786
|
10/1/2013
|
|
12/31/2013
|
|
1,163.637
|
|
1,043.459
|
|
1,163.637
|
1/1/2014
|
|
3/31/2014
|
|
1,208.651
|
|
1,093.594
|
|
1,173.038
|
4/1/2014
|
|
6/30/2014
|
|
1,192.964
|
|
1,095.986
|
|
1,192.964
|
7/1/2014
|
|
9/30/2014
|
|
1,208.150
|
|
1,101.676
|
|
1,101.676
|
10/1/2014
|
|
12/31/2014
|
|
1,219.109
|
|
1,049.303
|
|
1,204.696
|
1/1/2015
|
|
3/31/2015
|
|
1,266.373
|
|
1,154.709
|
|
1,252.772
|
4/1/2015
|
|
6/30/2015
|
|
1,295.799
|
|
1,215.417
|
|
1,253.947
|
7/1/2015
|
|
9/30/2015
|
|
1,273.328
|
|
1,083.907
|
|
1,100.688
|
10/1/2015
|
|
12/31/2015
|
|
1,204.159
|
|
1,097.552
|
|
1,135.889
|
1/1/2016
|
|
3/31/2016
|
|
1,114.028
|
|
953.715
|
|
1,114.028
|
4/1/2016
|
|
5/24/2016*
|
|
1,154.149
|
|
1,092.785
|
|
1,135.307
|
*
|
As of the date of this pricing supplement, available information for the second calendar quarter of 2016 includes data for the period from April 1, 2016 through May 24, 2016. Accordingly, the Quarterly
High, Quarterly Low and Close data indicated are for this shortened period only and do not reflect complete data for the second calendar quarter of 2016.
|
13
The graph below illustrates the daily performance of the Underlying from January 3, 2006 through May 24, 2016,
based on information from Bloomberg, without independent verification. The dotted line represents the Downside Threshold and Coupon Barrier of 777.957, equal to 70% of the closing level of the Underlying on May 23, 2016.
Past performance of the Index is not indicative of the future performance of the Underlying.
|
Supplemental Plan of
Distribution
|
We and JPMorgan Chase & Co. have agreed to indemnify UBS and JPMS against liabilities under the Securities Act of
1933, as amended, or to contribute to payments that UBS may be required to make relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may sell all or a part of the Notes that it purchases
from us to the public or its affiliates at the price to public indicated on the cover hereof.
Subject to regulatory constraints, JPMS intends to
offer to purchase the Notes in the secondary market, but it is not required to do so.
We or our affiliates may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge
transactions. See Supplemental Use of Proceeds in this pricing supplement and Use of Proceeds and Hedging in the accompanying product supplement.
All sales of the Notes will be made to certain fee-based advisory accounts for which UBS is an investment advisor and UBS will act as placement agent. The
purchase price will be $10.00 per Note and UBS will forgo any selling commissions related to these sales.
We expect that delivery of the Notes will
be made against payment for the Notes on or about the Original Issue Date set forth on the front cover of this pricing supplement, which will be the fourth business day following the Trade Date of the Notes (this settlement cycle being referred to
as T+4). Under Rule 15c6-1 under 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 that trade expressly agree otherwise. Accordingly,
purchasers who wish to trade Notes on the Trade Date will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.
|
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 values 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 Key Risks Risks Relating to the Notes Generally 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
14
and assumptions existing at that time. See Key Risks Risks Relating to the Notes Generally The Estimated Value of the Notes Does Not Represent Future Values of the Notes and
May Differ from Others Estimates in 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. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the Notes. See Key Risks Risks Relating to the Notes Generally
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 Key Risks Risks
Relating to the Notes Generally Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors in 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 an initial predetermined period that is intended to be up to five months. The length of any
such initial period reflects secondary market volumes for the Notes, 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 Key Risks Risks Relating to the Notes Generally 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 Examples in this pricing supplement for an illustration of the risk-return profile of the Notes and The Underlying 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 (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.
15
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