June 23, 2016
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
|
JPMorgan Chase Financial
Company LLC
Structured Investments
$1,000,000
Capped Dual Directional Contingent Buffered
Return Enhanced Notes Linked to the Energy Select Sector SPDR
®
Fund due June 27, 2019
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
·
|
The notes are designed for investors who seek a capped return of 1.20 times any appreciation (with a Maximum Upside Return
of 38.00%), or a capped, unleveraged return equal to the absolute value of any depreciation (up to the Contingent Buffer Amount
of 25.00%), of the Energy Select Sector SPDR
®
Fund at maturity.
|
|
·
|
Investors should be willing to forgo interest and dividend payments and be willing to lose some or all 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 June 23, 2016 and are expected to settle on or about June 28, 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-4 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
|
$20
|
$980
|
Total
|
$1,000,000
|
$20,000
|
$980,000
|
(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 $20.00 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 $969.30 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. 292 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 Energy Select Sector SPDR
®
Fund (Bloomberg ticker: XLE)
|
Maximum Upside Return:
38.00% (corresponding to a maximum payment at maturity if the Fund Return is positive of $1,380.00 per $1,000 principal amount note)
|
Upside Leverage Factor:
1.20
|
Contingent Buffer Amount:
25.00%
|
Pricing Date:
June 23, 2016
Original Issue
Date (Settlement Date):
On or about June 28, 2016
Observation
Date*:
June 24, 2019
Maturity Date*:
June 27, 2019
* 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
|
Payment at Maturity:
If the Final
Value is greater than the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000
+ ($1,000 × Fund Return × Upside Leverage Factor), subject to the Maximum Upside Return
If the Final
Value is equal to the Initial Value or is less than the Initial Value by up to the Contingent Buffer Amount, your payment at maturity
per $1,000 principal amount note will be calculated as follows:
$1,000
+ ($1,000 × Absolute Fund Return)
If the Final
Value is less than the Initial Value by more than the Contingent Buffer Amount, your payment at maturity per $1,000 principal amount
note will be calculated as follows:
$1,000
+ ($1,000 × Fund Return)
If the
Final Value is less than the Initial Value by more than the Contingent Buffer Amount, you will lose more than 25.00% of your principal
amount at maturity and could lose all of your principal amount at maturity.
Absolute Fund
Return:
The absolute value of the Fund Return. For example, if the Fund
Return is -5%, its Absolute Fund Return will equal 5%.
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 $69.01
Final Value:
The closing price of one share of the Fund on the Observation Date
|
Share Adjustment Factor:
The Share Adjustment Factor is referenced in determining the closing price of one share of the Fund, and is set initially at 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 about these adjustments.
|
PS-
1
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the Energy Select Sector SPDR
®
Fund
|
|
Hypothetical
Payout Profile
The
following table and graph illustrate the hypothetical total return at maturity on the notes linked to a hypothetical Fund. 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 Maximum Upside Return of 38.00%;
|
|
·
|
an Upside Leverage Factor of 1.20; and
|
|
·
|
a Contingent Buffer Amount of 25.00%
|
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 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 and graph have been rounded for ease of analysis.
Final
Value
|
Fund
Return
|
Absolute
Fund Return
|
Total
Return on the Notes
|
Payment
at Maturity
|
$200.0000
|
100.0000%
|
N/A
|
38.00%
|
$1,380.00
|
$180.0000
|
80.0000%
|
N/A
|
38.00%
|
$1,380.00
|
$160.0000
|
60.0000%
|
N/A
|
38.00%
|
$1,380.00
|
$140.0000
|
40.0000%
|
N/A
|
38.00%
|
$1,380.00
|
$131.6667
|
31.6667%
|
N/A
|
38.00%
|
$1,380.00
|
$130.0000
|
30.0000%
|
N/A
|
36.00%
|
$1,360.00
|
$120.0000
|
20.0000%
|
N/A
|
24.00%
|
$1,240.00
|
$115.0000
|
15.0000%
|
N/A
|
18.00%
|
$1,180.00
|
$110.0000
|
10.0000%
|
N/A
|
12.00%
|
$1,120.00
|
$105.0000
|
5.0000%
|
N/A
|
6.00%
|
$1,060.00
|
$101.0000
|
1.0000%
|
N/A
|
1.20%
|
$1,012.00
|
$100.0000
|
0.0000%
|
0.00%
|
0.00%
|
$1,000.00
|
$95.0000
|
-5.0000%
|
5.00%
|
5.00%
|
$1,050.00
|
$90.0000
|
-10.0000%
|
10.00%
|
10.00%
|
$1,100.00
|
$85.0000
|
-15.0000%
|
15.00%
|
15.00%
|
$1,150.00
|
$80.0000
|
-20.0000%
|
20.00%
|
20.00%
|
$1,200.00
|
$75.0000
|
-25.0000%
|
25.00%
|
25.00%
|
$1,250.00
|
$74.9900
|
-25.0100%
|
N/A
|
-25.01%
|
$749.90
|
$70.0000
|
-30.0000%
|
N/A
|
-30.00%
|
$700.00
|
$65.0000
|
-35.0000%
|
N/A
|
-35.00%
|
$650.00
|
$60.0000
|
-40.0000%
|
N/A
|
-40.00%
|
$600.00
|
$50.0000
|
-50.0000%
|
N/A
|
-50.00%
|
$500.00
|
$40.0000
|
-60.0000%
|
N/A
|
-60.00%
|
$400.00
|
$30.0000
|
-70.0000%
|
N/A
|
-70.00%
|
$300.00
|
$20.0000
|
-80.0000%
|
N/A
|
-80.00%
|
$200.00
|
$10.0000
|
-90.0000%
|
N/A
|
-90.00%
|
$100.00
|
$0.0000
|
-100.0000%
|
N/A
|
-100.00%
|
$0.00
|
PS-
2
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the Energy Select Sector SPDR
®
Fund
|
|
The
following graph demonstrates the hypothetical total returns and hypothetical payments at maturity on the notes at maturity for
a sub-set of Fund Returns detailed in the table above (-60% to 60%). Your investment may result in a loss of some or most of your
principal amount at maturity.
How
the Notes Work
Fund
Appreciation Upside Scenario:
If
the Final Value is greater than the Initial Value, investors will receive at maturity the $1,000 principal amount
plus
a return equal to the Fund Return
times
the Upside Leverage Factor of 1.20, subject to the Maximum Upside Return of 38.00%.
|
·
|
If the
closing price of one share of the Fund increases 10.00%, investors will receive at maturity a 12.00% return, or $1,120.00 per
$1,000 principal amount note.
|
|
·
|
If the closing price of one share of the Fund increases 40.00%,
investors will receive at maturity a return equal to the 38.00% Maximum Upside Return, or $1,380.00 per $1,000 principal amount
note, which is the maximum payment at maturity if the fund return is positive.
|
Fund
Par or Fund Depreciation Upside Scenario:
If
the Final Value is equal to the Initial Value or is less than the Initial Value by up to the Contingent Buffer Amount of 25.00%,
investors will receive at maturity the $1,000 principal amount
plus
a return equal to the Absolute Fund Return.
|
·
|
For example, if the closing price of one share of the Fund
declines 10.00%, investors will receive at maturity a 10.00% return, or $1,100.00 per $1,000 principal amount note.
|
Downside
Scenario:
If
the Final Value is less than the Initial Value by more than the Contingent Buffer Amount of 25.00%, investors will lose 1% of
the principal amount of their notes for every 1% that the Final Value is less than the Initial Value.
|
·
|
For example,
if the closing price of one share of the Fund declines 50.00%, investors will lose 50.00% of their principal amount and receive
only $500.00 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.
PS-
3
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the Energy Select Sector SPDR
®
Fund
|
|
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 25.00%, 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 25.00%. Accordingly, under these circumstances,
you will lose more than 25.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM UPSIDE RETURN IF THE FUND RETURN IS POSITIVE
—
|
If the Final Value is greater than
the Initial Value, for each $1,000 principal amount note, you will receive at maturity $1,000
plu
s an additional return
equal to the Fund Return
times
the Upside Leverage Factor, up to the Maximum Upside Return of 38.00% (corresponding to a
maximum payment at maturity if the Fund Return is positive of $1,380.00 per $1,000 principal amount note), regardless of the appreciation
of the Fund, which may be significant.
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE CONTINGENT BUFFER AMOUNT IF THE FUND RETURN IS
NEGATIVE —
|
Because the payment at maturity will
not reflect the Absolute Fund Return if the Final Value is less than the Initial Value by more than the Contingent Buffer Amount,
the Contingent Buffer Amount is effectively a cap on your return at maturity if the Fund Return is negative. The maximum payment
at maturity if the Fund Return is negative is $1,250.00 per $1,000 principal amount note.
|
·
|
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 BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE OBSERVATION DATE —
|
If the Final Value is less than the
Initial Value by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate, and
you will be fully exposed to any depreciation in the Fund.
|
·
|
THE NOTES DO NOT PAY INTEREST.
|
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES HELD BY THE FUND OR HAVE ANY RIGHTS
WITH RESPECT TO THE FUND OR THOSE SECURITIES.
|
|
·
|
THERE
ARE RISKS ASSOCIATED WITH THE FUND —
|
PS-
4
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the Energy Select Sector SPDR
®
Fund
|
|
Although the shares of the Fund are
listed for trading on NYSE Arca and a number of similar products have been traded on NYSE Arca and other securities exchanges for
varying periods of time, there is no assurance that an active trading market will continue for the shares of the Fund or that there
will be liquidity in the trading market. The Fund is subject to management risk, which is the risk that the investment strategies
of the Fund’s 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 FUND’S 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 its 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 of the Fund
are traded on a securities exchange 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 of 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 any payment on the notes.
|
·
|
RISKS ASSOCIATED WITH THE ENERGY SECTOR —
|
All or substantially all of the equity
securities held by the shares of the Fund are issued by companies whose primary line of business is directly associated with the
energy sector. Energy companies typically develop and produce crude oil and natural gas and provide drilling and other energy resources
products and distribution related services. Market or economic factors impacting energy companies and companies that rely heavily
on energy advances could have a major effect on the value of the Fund. Weak demand for energy companies’ products or services
or for energy products and services in general, as well as negative developments in these other areas, including natural disasters
or terrorist attacks, would adversely impact the Fund’s performance. As a result, the value of the Notes may be subject to
greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting this sector
than a different investment linked to securities of a more broadly diversified group of issuers.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND —
|
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 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-
5
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the Energy Select Sector SPDR
®
Fund
|
|
|
·
|
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 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-
6
| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the Energy Select Sector SPDR
®
Fund
|
|
The Fund
The Fund is an exchange-traded fund of the Select
Sector SPDR
®
Trust, a registered investment company, that seeks to provide investment results that, before expenses,
correspond generally to the performance of an index derived from the energy sector of the S&P 500
®
Index, which
we refer to as the Underlying Index with respect to the Fund. The Underlying Index for the Fund is currently the Energy Select
Sector Index. For additional information about the Fund, see “Fund Descriptions — The Select Sector SPDR
®
Funds" in the accompanying underlying supplement no. 1-I.
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 June
17, 2016. The closing price of one share of the Fund on June 23, 2016 was $69.01. We obtained the closing prices above and below
from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The closing
prices above and 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.
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, subject to the possible application of the
“constructive ownership” rules, 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. The
notes could be treated as “constructive ownership transactions” within the meaning of Section 1260 of the Internal
Revenue Code of 1986, as amended, in which case any gain recognized in respect of the notes that would otherwise be long-term
capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would
be treated as ordinary income, and a notional interest charge would apply as if that income had accrued for tax purposes at a
constant yield over the notes’ term. Our special tax counsel has not expressed an
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| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the Energy Select Sector SPDR
®
Fund
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opinion
with respect to whether the constructive ownership rules apply to the notes. Accordingly, U.S. Holders should consult their
tax advisers regarding the potential application of the constructive ownership rules.
The
IRS or a court may not respect the treatment of the notes described above, in which case the timing and character of any income
or loss on your notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect
to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked;
the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding
tax; and whether these instruments are or should be subject to the constructive ownership regime described above. 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 the potential application of the constructive ownership rules, 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, as well as to payments of gross proceeds of a taxable disposition,
including redemption at maturity, of a note. However, under a recent IRS notice, this regime will not apply to payments
of gross proceeds (other than any amount treated as interest) with respect to dispositions occurring before January 1, 2019.
You should consult your tax adviser regarding the potential application of FATCA to the 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
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Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the Energy Select Sector SPDR
®
Fund
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“Selected
Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes”
in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if any, and, in some circumstances,
estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined
time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial
period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities,
the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected
Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements)
May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.
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 trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity,
binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated
February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan
Chase & Co. on February 24, 2016.
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.
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Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the Energy Select Sector SPDR
®
Fund
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You may access these documents on the SEC
website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us”
and “our” refer to JPMorgan Financial.
PS-
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| Structured Investments
Capped Dual Directional Contingent Buffered Return Enhanced Notes
Linked to the Energy Select Sector SPDR
®
Fund
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