June 24, 2016
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Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b)(2)
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JPMorgan Chase Financial Company LLC
Structured Investments
$20,250,000
Uncapped Digital Notes Linked to the iShares
®
MSCI Emerging Markets ETF due January 29, 2018
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
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The notes are designed for investors who seek uncapped, unleveraged exposure to
any appreciation of the iShares
®
MSCI Emerging Markets ETF above the contingent minimum return of 21.00%.
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Investors should be willing to forgo interest and dividend payments and be willing
to lose some or all of their principal amount at maturity.
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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.
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Minimum denominations of $1,000 and integral multiples thereof
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The notes priced on June 24, 2016 (“the Pricing Date”) and are expected
to settle on or about June 29, 2016.
The Strike Value has been determined by reference to certain intraday trades in the Fund
that occurred on the Pricing Date and will not be determined by reference to the closing price of the Fund on the Pricing Date.
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Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-3 of
this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
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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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Per note
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$1,000
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$1.4622
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$998.5378
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Total
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$20,250,000
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$29,610
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$20,220,390
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(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, with respect to the $19,750,000 aggregate principal amount notes, pay
all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. These selling commissions will
vary and will be up to $1.50 per $1,000 principal amount note. JPMS will not receive any selling commissions for the remainder
of the notes. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
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The estimated value of the notes, when the terms of the
notes were set, was $991.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing
supplement for additional information.
The total aggregate principal amount of the notes offered by
this pricing supplement was not purchased by investors. JPMS will retain the unsold portion of the offering of $500,000 aggregate
principal amount notes and has agreed to hold those notes for investment for a period of at least 30 days. This unsold portion
may affect the supply of the notes available for secondary trading and, therefore, could adversely affect the price of the notes
in the secondary market. Circumstances may occur in which our interests or those of our affiliates could be in conflict with your
interests.
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. 298 to product supplement
no. 4-I dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC
Guarantor:
JPMorgan Chase & Co.
Fund:
The
iShares
®
MSCI Emerging Markets ETF (Bloomberg ticker: EEM)
Contingent Minimum
Return:
21.00%
Pricing
Date:
June 24, 2016
Original Issue
Date (Settlement Date):
On or about June 29, 2016
Observation
Date
*
:
January
24, 2018
Maturity Date*:
January 29, 2018
* Subject to postponement in the event of
a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date —
Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General
Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement
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Payment at Maturity:
If the Final Value is greater than or equal
to the Strike Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 ×
greater of (a) Contingent Minimum Return and (b) Fund Return)
If the Final Value is less than the Strike Value,
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 Strike
Value, you will lose some or all of your principal amount at maturity.
Fund Return:
(Final Value –
Strike Value)
Strike Value
Strike Value:
$32.88, determined on the Pricing Date in the sole discretion of the calculation
agent.
The Strike Value is not the closing price of the Fund on the Pricing Date.
See “Selected Risk Considerations — Potential Conflicts” in this term sheet.
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.
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PS-
1
| Structured Investments
Uncapped Digital Notes Linked to the iShares
®
Emerging Markets ETF
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Hypothetical
Payout Profile
The following table illustrates 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:
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a Strike Value of 100.00; and
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a Contingent Minimum Return of 21.00%.
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The hypothetical Strike Value of 100.00 has been
chosen for illustrative purposes only and does not represent the actual Strike Value. The actual Strike Value is specified under
“Key Terms — Strike 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 have been rounded for ease of analysis.
Final Value
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Fund Return
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Total Return on the Notes
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Payment at Maturity
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180.00
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80.00%
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80.00%
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$1,800.00
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165.00
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65.00%
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65.00%
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$1,650.00
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150.00
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50.00%
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50.00%
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$1,500.00
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140.00
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40.00%
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40.00%
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$1,400.00
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130.00
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30.00%
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30.00%
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$1,300.00
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121.00
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21.00%
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21.00%
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$1,210.00
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120.00
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20.00%
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21.00%
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$1,210.00
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110.00
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10.00%
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21.00%
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$1,210.00
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105.00
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5.00%
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21.00%
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$1,210.00
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101.00
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1.00%
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21.00%
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$1,210.00
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100.00
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0.00%
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21.00%
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$1,210.00
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95.00
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-5.00%
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-5.00%
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$950.00
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90.00
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-10.00%
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-10.00%
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$900.00
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80.00
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-20.00%
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-20.00%
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$800.00
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70.00
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-30.00%
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-30.00%
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$700.00
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50.00
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-50.00%
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-50.00%
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$500.00
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40.00
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-60.00%
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-60.00%
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$400.00
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30.00
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-70.00%
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-70.00%
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$300.00
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20.00
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-80.00%
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-80.00%
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$200.00
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10.00
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-90.00%
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-90.00%
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$100.00
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0.00
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-100.00%
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-100.00%
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$0.00
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PS-
2
| Structured Investments
Uncapped Digital Notes Linked to the iShares
®
Emerging Markets ETF
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How
the Notes Work
Upside Scenario:
If the Final Value is greater than or equal to
the Strike Value, investors will receive at maturity the $1,000 principal amount
plus
a return equal to the greater of (a)
the Contingent Minimum Return of 21.00% and (b) the Fund Return.
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If the closing price of one share of the Fund increases 10.00%, investors
will receive at maturity a 21.00% return, or $1,210.00 per $1,000 principal amount note.
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If the closing price of one share of the Fund increases 40.00%, investors
will receive at maturity a 40.00% return, or $1,400.00 per $1,000 principal amount note.
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Downside Scenario:
If the Final Value is less than the Strike Value,
investors will lose 1% of the principal amount of their notes for every 1% that the Final Value is less than the Strike Value.
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For example, if the closing price of one share of the Fund declines 60.00%,
investors will lose 60.00% of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity.
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The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term.
These hypotheticals do not reflect the
fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the
hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
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The notes do not guarantee any return
of principal. If the Final Value is less than the Strike Value, you will lose 1% of the principal amount of your notes for every
1% that the Final Value is less than the Strike Value. Accordingly, under these circumstances, you will lose some or all of your
principal amount at maturity.
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YOUR ABILITY TO RECEIVE THE CONTINGENT MINIMUM RETURN MAY TERMINATE ON THE OBSERVATION DATE —
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If the Final Value of the Fund is less
than its Strike Value, you will not be entitled to receive the Contingent Minimum Return at maturity. Under these circumstances,
you may lose some or all of your principal amount at maturity.
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CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
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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.
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AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS
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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.
In addition, although the calculation
agent has made all determinations and has taken all actions in relation to the establishment of the Strike Value in good faith,
it should be noted that such discretion could have an impact (positive or negative) on the value of
PS-
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| Structured Investments
Uncapped Digital Notes Linked to the iShares
®
Emerging Markets ETF
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your notes. The calculation agent is
under no obligation to consider your interests as a holder of the notes in taking any actions, including the determination of the
Strike Value, that may affect the value of your notes.
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THE NOTES DO NOT PAY INTEREST.
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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.
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THE RISK OF THE CLOSING PRICE OF THE FUND FALLING BELOW THE STRIKE VALUE IS GREATER IF THE PRICE
OF THE FUND IS VOLATILE.
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THERE ARE RISKS ASSOCIATED WITH THE FUND —
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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.
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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 —
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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.
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NON-U.S. SECURITIES RISK —
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The equity securities held by the Fund
have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve
risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities. Also, there
is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies
that are subject to the reporting requirements of the SEC.
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EMERGING MARKETS RISK —
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The
equity securities held by the Fund have been issued by non-U.S. companies located in emerging markets countries. Countries
with emerging markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions
on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more
developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly
vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates.
Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading
volume, potentially making prompt liquidation of holdings difficult or impossible at times.
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THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK —
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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
PS-
4
| Structured Investments
Uncapped Digital Notes Linked to the iShares
®
Emerging Markets ETF
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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.
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THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
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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.
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THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE
NOTES —
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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.
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THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
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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 —
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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 —
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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).
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SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE
NOTES —
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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.
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SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
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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
PS-
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| Structured Investments
Uncapped Digital Notes Linked to the iShares
®
Emerging Markets ETF
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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.
The
Fund
The Fund is
an exchange-traded fund of iShares
®
, Inc., a registered investment company, which seeks to track the investment
results, before fees and expenses, of an index composed of large- and mid-capitalization emerging market equities, which we refer
to as the Underlying Index with respect to the Fund. The Underlying Index for the Fund is currently the MSCI Emerging Markets Index.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market
performance of global emerging markets. For additional information about the Fund, see “Fund Descriptions — The iShares
®
ETFs” in the accompanying underlying supplement.
Historical Information
The following graph
sets forth the historical performance of the Fund based on the weekly historical closing prices of one share of the Fund from
January
7, 2011
through June 24, 2016. The closing price of one share of the Fund on June 24, 2016 was
$32.64. We obtained the closing prices above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The closing prices below may have been adjusted by Bloomberg for actions taken by the Fund, such
as stock splits.
The historical closing prices of one share of
the Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one
share of the Fund on 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
PS-
6
| Structured Investments
Uncapped Digital Notes Linked to the iShares
®
Emerging Markets ETF
|
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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. Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other
than any amount treated as interest) of a taxable disposition, including redemption at maturity, of the notes. You should consult
your tax adviser regarding the potential application of FATCA to the notes.
Non-U.S. holders should also note that recently
promulgated Treasury regulations imposing a withholding tax on certain “dividend equivalents” under certain “equity
linked instruments” will not apply to the notes.
The
Estimated Value of the Notes
The estimated
value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical
components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate described
below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes does
not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time.
The internal funding rate used in the determination of the estimated value of the notes is based on, among other things, our and
our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes
in comparison to those costs for the conventional fixed-rate
debt of JPMorgan Chase & Co
. For additional information, see “Selected Risk Considerations
— The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes is lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
PS-
7
| Structured Investments
Uncapped Digital Notes Linked to the iShares
®
Emerging Markets ETF
|
|
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.
PS-
8
| Structured Investments
Uncapped Digital Notes Linked to the iShares
®
Emerging Markets ETF
|
|
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-
9
| Structured Investments
Uncapped Digital Notes Linked to the iShares
®
Emerging Markets ETF
|
|
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