Pricing supplement no. 296
To prospectus dated April 15, 2016,
prospectus supplement dated April 15, 2016
product supplement no. 4-I dated April 15, 2016 and
underlying supplement no. 1-I dated April 15,
2016
JPMorgan Chase Financial Company LLC
|
Registration Statement Nos. 333-209682 and 333-209682-01
Dated June 24, 2016
Rule 424(b)(2)
|
Structured Investments
|
$3,115,000
Callable Contingent Interest Notes Linked to the
Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index due July 2, 2018
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
|
General
|
·
|
The notes are designed for investors who seek a Contingent Interest Payment
with respect to each Review Date for which the closing level of each of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index (in the case of any Review Date other than the final Review Date) or the Ending
Index Level of each Index (in the case of the final Review Date) is greater than or equal to 70% of its Initial Index Level, which
we refer to as an Interest Barrier. Investors should be willing to forgo fixed interest and dividend payments, in exchange for
the opportunity to receive Contingent Interest Payments.
|
|
·
|
Investors in the notes should be willing to accept the risk of losing
some or all of their principal if a Trigger Event (as defined below) has occurred and the risk that no Contingent Interest Payment
may be made with respect to some or all Review Dates. Contingent Interest Payments should not be viewed as periodic interest payments.
|
|
·
|
The notes may be redeemed early, in whole but not in part, at our option
on any of the Interest Payment Dates (other than the final Interest Payment Date). The earliest date on which the notes may be
redeemed early is October 3, 2016.
|
|
·
|
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.
|
|
·
|
The payment at maturity is
not
linked to a basket composed
of the Indices. The payment at maturity is linked to the performance of each of the Indices individually, as described below.
|
|
·
|
Minimum denominations of $10,000 and integral multiples of $1,000 in excess
thereof
|
Key Terms
Issuer:
|
JPMorgan Chase Financial Company LLC
|
Guarantor:
|
JPMorgan Chase & Co.
|
Indices:
|
The S&P 500
®
Index (Bloomberg ticker: SPX), the Russell 2000
®
Index (Bloomberg ticker: RTY) and the EURO STOXX 50
®
Index (Bloomberg ticker: SX5E) (each, an “Index” and collectively, the “Indices”)
|
Contingent Interest Payments:
|
If the notes have not been previously redeemed early and, with
respect to any Review Date, the closing level of each Index (in the case of any Review Date other than the final Review Date) or
the Ending Index Level of each Index (in the case of the final Review Date) is greater than or equal to its Interest Barrier, you
will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal
to $28.125.
If, with respect to any Review Date, the closing level of any
Index (in the case of any Review Date other than the final Review Date) or the Ending Index Level of any Index (in the case of
the final Review Date) is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review
Date.
|
Interest Barrier / Trigger Level:
|
With respect to the S&P 500
®
Index, 1,426.187, which is 70% of its Initial Index Level
With respect to the Russell 2000
®
Index, 789.2766, which is 70% of its Initial Index Level
With respect to the EURO STOXX 50
®
Index, 1,943.263, which is 70% of its Initial Index Level
|
Early Redemption:
|
We, at our election, may redeem the notes early, in whole but not in part, on any of the Interest Payment Dates (other than the final Interest Payment Date) at a price for each $1,000 principal amount note equal to $1,000
plus
any accrued and unpaid Contingent Interest Payment. If we intend to redeem your notes early, we will deliver notice to The Depository Trust Company, or DTC, at least five business days before the applicable Interest Payment Dates on which the notes are redeemed early.
|
Payment at Maturity:
|
If the notes have not been redeemed early and a Trigger Event
has
not
occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a)
$1,000
plus
(b) the Contingent Interest Payment applicable to the final Review Date.
If the notes have not been redeemed early and a Trigger Event
has
occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending Index
Level of the Least Performing Index is less than its Initial Index Level. Under these circumstances, your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Least Performing
Index Return)
If the notes have not been redeemed early and a Trigger Event
has occurred, you will lose more than 30% of your principal amount at maturity and could lose up to the entire principal amount
of your notes at maturity.
|
Trigger Event:
|
A Trigger Event occurs if the Ending Index Level (
i.e.
, the closing level on the final Review Date) of any Index is less than its Trigger Level.
|
Pricing Date:
|
June 24, 2016
|
Original Issue Date:
|
On or about June 29, 2016 (Settlement Date)
|
Review Dates
†
:
|
September 26, 2016, December 27, 2016, March 24, 2017, June 26, 2017, September 25, 2017, December 27, 2017, March 26, 2018 and June 25, 2018 (the “final Review Date”)
|
Ending Averaging Dates
†:
|
June 19, 2018, June 20, 2018, June 21, 2018, June 22 and the final Review Date
|
Interest Payment Dates
†
:
|
October 3, 2016, January 4, 2017, March 31, 2017, July 3, 2017, October 2, 2017, January 4, 2018, April 3, 2018 and the Maturity Date
|
Maturity Date
†
:
|
July 2, 2018
|
CUSIP:
|
46646EJX1
|
Other Key Terms:
|
See “Additional Key Terms” in this pricing supplement
|
|
†
|
Subject to postponement in the event of certain market disruption events and as described under “General Terms of Notes
— Postponement of a Determination Date — Notes Linked to Multiple Underlyings” and “General Terms of Notes
— Postponement of a Payment Date” in the accompanying product supplement
|
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-6 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
|
$15
|
$85
|
Total
|
$3,115,000
|
$46,725
|
$3,068.275
|
|
(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 $15.00 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 $975.40 per $1,000 principal amount note.
See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency, and are not obligations of, or guaranteed by, a bank.
June 24, 2016
Additional Terms Specific to the Notes
You should read this pricing supplement together with the
accompanying prospectus, as supplemented by the accompanying prospectus supplement, relating to our Series A medium-term notes
of which these notes are a part, and the more detailed information contained in the accompanying product supplement and the accompanying
underlying supplement.
This pricing supplement, together with the documents listed below, contains the terms of the notes and
supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative
pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational
materials of ours.
You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying product supplement and the accompanying underlying supplement, as the notes involve risks not associated
with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you
invest in the notes.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
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.
Additional Key Terms
Index Return:
|
With respect to each Index:
(Ending Index Level – Initial
Index Level)
Initial Index Level
|
Initial Index Level:
|
With respect to each Index, the closing level of that Index on the Pricing Date, which was 2,037.41 for the S&P 500
®
Index, 1,127.538 for the Russell 2000
®
Index and 2,776.09 for the EURO STOXX 50
®
Index
|
Ending Index Level:
|
With respect to each Index, the arithmetic average of the closing levels of that Index on the Ending Averaging Dates
|
Least Performing Index:
|
The Index with the Least Performing Index Return
|
Least Performing Index Return:
|
The lowest of the Index Returns of the Indices
|
JPMorgan Structured Investments —
|
PS-1
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
What Are the Payments on the Notes, Assuming
a Range of Performances for the Least Performing Index?
If the notes have not been previously redeemed early and,
with respect to any Review Date, the closing level of each Index (in the case of any Review Date other than the final Review Date)
or the Ending Index Level of each Index (in the case of the final Review Date) is greater than or equal to its Interest Barrier,
you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal
to $28.125. If the notes have not been previously redeemed early and, with respect to any Review Date, the closing level of any
Index (in the case of any Review Date other than the final Review Date) or the Ending Index Level of any Index (in the case of
the final Review Date) is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that Review
Date. We refer to the Interest Payment Date immediately following any Review Date on which the closing level of any Index is less
than its Interest Barrier as a “No-Coupon Date.” The following table reflects the Contingent Interest Payment of $28.125
and illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the term of the notes
depending on how many No-Coupon Dates occur.
Number of
No-Coupon Dates
|
Total Contingent Coupon Payments
|
0 No-Coupon Dates
|
$225.000
|
1 No-Coupon Date
|
$196.875
|
2 No-Coupon Dates
|
$168.750
|
3 No-Coupon Dates
|
$140.625
|
4 No-Coupon Dates
|
$112.500
|
5 No-Coupon Dates
|
$84.375
|
6 No-Coupon Dates
|
$56.250
|
7 No-Coupon Dates
|
$28.125
|
8 No-Coupon Dates
|
$0.000
|
The following table illustrates the hypothetical payments
on the notes in different hypothetical scenarios.
Each hypothetical payment set forth below assumes that the Least Performing
Index is the Russell 2000
®
Index and that the notes have not been previously redeemed early. We make no representation
or warranty as to which of the Indices will be the Least Performing Index for purposes of calculating your actual payment at maturity,
if any, or as to what the closing level of any Index will be on any Review Date.
In addition, the following table and examples
assume an Initial Index Level for the Least Performing Index of 1,050, an Interest Barrier and a Trigger Level for the Least Performing
Index of 735.00 (equal to 70% of the hypothetical Initial Index Level) and a Contingent Interest Payment of $28.125. The actual
Contingent Interest Payment will be provided in the pricing supplement and will not be less than $28.125. Each hypothetical payment
set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser of the notes. The
numbers appearing in the following table and examples have been rounded for ease of analysis.
JPMorgan Structured Investments —
|
PS-2
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
Review Dates Prior to the Final Review Date
|
Final Review Date
|
Closing Level
of the Least
Performing
Index
|
Least Performing
Index
Appreciation /
Depreciation at
Review Date
|
Payment on
Interest
Payment Date
(1)
|
Ending Index
Level of the
Least
Performing
Index (2)
|
Least
Performing
Index Return
|
Payment at
Maturity If a
Trigger
Event Has
Not Occurred
(3)(4)
|
Payment
at
Maturity If
a Trigger
Event Has
Occurred
(4)
|
1,890.000
|
80.00%
|
$28.125
|
1,890.000
|
80.00%
|
$1,028.125
|
N/A
|
1,785.000
|
70.00%
|
$28.125
|
1,785.000
|
70.00%
|
$1,028.125
|
N/A
|
1,680.000
|
60.00%
|
$28.125
|
1,680.000
|
60.00%
|
$1,028.125
|
N/A
|
1,575.000
|
50.00%
|
$28.125
|
1,575.000
|
50.00%
|
$1,028.125
|
N/A
|
1,470.000
|
40.00%
|
$28.125
|
1,470.000
|
40.00%
|
$1,028.125
|
N/A
|
1,365.000
|
30.00%
|
$28.125
|
1,365.000
|
30.00%
|
$1,028.125
|
N/A
|
1,260.000
|
20.00%
|
$28.125
|
1,260.000
|
20.00%
|
$1,028.125
|
N/A
|
1,207.500
|
15.00%
|
$28.125
|
1,207.500
|
15.00%
|
$1,028.125
|
N/A
|
1,155.000
|
10.00%
|
$28.125
|
1,155.000
|
10.00%
|
$1,028.125
|
N/A
|
1,102.500
|
5.00%
|
$28.125
|
1,102.500
|
5.00%
|
$1,028.125
|
N/A
|
1,050.000
|
0.00%
|
$28.125
|
1,050.000
|
0.00%
|
$1,028.125
|
N/A
|
997.500
|
-5.00%
|
$28.125
|
997.500
|
-5.00%
|
$1,028.125
|
N/A
|
945.000
|
-10.00%
|
$28.125
|
945.000
|
-10.00%
|
$1,028.125
|
N/A
|
840.000
|
-20.00%
|
$28.125
|
840.000
|
-20.00%
|
$1,028.125
|
N/A
|
787.500
|
-25.00%
|
$28.125
|
787.500
|
-25.00%
|
$1,028.125
|
N/A
|
735.000
|
-30.00%
|
$28.125
|
735.000
|
-30.00%
|
$1,028.125
|
N/A
|
734.895
|
-30.01%
|
$0.00
|
734.895
|
-30.01%
|
N/A
|
$699.90
|
630.000
|
-40.00%
|
$0.00
|
630.000
|
-40.00%
|
N/A
|
$600.00
|
525.000
|
-50.00%
|
$0.00
|
525.000
|
-50.00%
|
N/A
|
$500.00
|
420.000
|
-60.00%
|
$0.00
|
420.000
|
-60.00%
|
N/A
|
$400.00
|
315.000
|
-70.00%
|
$0.00
|
315.000
|
-70.00%
|
N/A
|
$300.00
|
210.000
|
-80.00%
|
$0.00
|
210.000
|
-80.00%
|
N/A
|
$200.00
|
105.000
|
-90.00%
|
$0.00
|
105.000
|
-90.00%
|
N/A
|
$100.00
|
0.000
|
-100.00%
|
$0.00
|
0.000
|
-100.00%
|
N/A
|
$0.00
|
(1) You will receive a Contingent Interest Payment
in connection with a Review Date (other than the final Review Date) if the closing level of each Index on that Review Date is greater
than or equal to the Interest Barrier.
(2) With respect to each Index, the Ending Index
Level is equal to the arithmetic average of the closing levels of that Index on the Ending Averaging Dates.
(3) You will receive a Contingent Interest Payment
in connection with the final Review Date if the Ending Index Level is greater than or equal to its Interest Barrier.
(4) A Trigger Event occurs if
the Ending Index Level (
i.e.
, the arithmetic average of the closing levels on the Ending Averaging Dates) of any Index is
less than its Trigger Level.
Hypothetical Examples of Amounts Payable
on the Notes
The following examples illustrate how payments on the notes
in different hypothetical scenarios are calculated.
Example 1: The notes have not been redeemed early, Contingent
Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and the level of the Least
Performing Index increases from the Initial Index Level of 1,050 to an Ending Index Level of 1,260 — A Trigger Event has
not occurred.
The investor receives a payment of $28.125 per $1,000 principal amount note in connection with each of the Review
Dates preceding the final Review Date. Because the notes have not been redeemed early and a Trigger Event has not occurred, the
investor receives at maturity a payment of $1,028.125 per $1,000 principal amount note. This payment consists of a Contingent Interest
Payment of $28.125 per $1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note.
The total amount paid on the notes over the term of the notes is $1,225.00 per $1,000 principal amount note.
This represents
the maximum total payment an investor may receive over the term of the notes.
JPMorgan Structured Investments —
|
PS-3
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
Example 2: The notes have not been redeemed early, Contingent
Interest Payments are paid in connection with two of the Review Dates preceding the final Review Date and the level of the Least
Performing Index decreases from the Initial Index Level of 1,050 to an Ending Index Level of 735.00 — A Trigger Event has
not occurred.
The investor receives a payment of $28.125 per $1,000 principal amount note in connection with two of the Review
Dates preceding the final Review Date. Because the notes have not been redeemed early and a Trigger Event has not occurred, even
though the Ending Index Level of the Least Performing Index is less than its Initial Index Level, the investor receives at maturity
a payment of $1,028.125 per $1,000 principal amount note. This payment consists of a Contingent Interest Payment of $28.125 per
$1,000 principal amount note and repayment of principal equal to $1,000 per $1,000 principal amount note. The total amount paid
on the notes over the term of the notes is $1,084.375 per $1,000 principal amount note.
Example 3: The notes have not been redeemed early, Contingent
Interest Payments are paid in connection with each of the Review Dates preceding the final Review Date and the level of the Least
Performing Index decreases from the Initial Index Level of 1,050 to an Ending Index Level of 420 — A Trigger Event has occurred.
The investor receives a payment of $28.125 per $1,000 principal amount note in connection with each of the Review Dates preceding
the final Review Date. Because the notes have not been redeemed early, a Trigger Event has occurred and the Least Performing Index
Return is -60%, the investor receives at maturity a payment of $400 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -60%) = $400
The total amount paid on the notes over the term of the notes
is $596.875 per $1,000 principal amount note.
Example 4: The notes have not been redeemed early, no Contingent
Interest Payments are paid in connection with the Review Dates preceding the final Review Date and the level of the Least Performing
Index decreases from the Initial Index Level of 1,050 to an Ending Index Level of 315 — A Trigger Event has occurred.
Because
the notes have not been redeemed early, no Contingent Interest Payments are paid in connection with the Review Dates preceding
the final Review Date, a Trigger Event has occurred and the Ending Index Level of the Least Performing Index is less than its Interest
Barrier, the investor receives no payments over the term of the notes, other than a payment at maturity of $300 per $1,000 principal
amount note, calculated as follows:
$1,000 + ($1,000 × -70%) = $300
The hypothetical payments on the notes shown above apply
only
if you hold the notes for their entire term
. These hypotheticals do not reflect fees or expenses that would be associated with
any sale in the secondary market. If these fees and expenses were included, the hypothetical payments shown above would likely
be lower.
JPMorgan Structured Investments —
|
PS-4
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
Selected Purchase Considerations
|
·
|
CONTINGENT
INTEREST PAYMENTS
— The notes offer the potential to earn a Contingent Interest Payment in connection with each Review
Date of $28.125 per $1,000 principal amount note. If the notes have not been redeemed early and, with respect to any Review Date,
the closing level of each Index (in the case of any Review Date other than the final Review Date) or the Ending Index Level of
each Index (in the case of the final Review Date) is greater than or equal to its Interest Barrier, you will receive a Contingent
Interest Payment on the applicable Interest Payment Date. If the notes have not been redeemed early and, with respect to any Review
Date, the closing level of any Index (in the case of any Review Date other than the final Review Date) or the Ending Index Level
of any Index (in the case of the final Review Date) is less than its Interest Barrier, no Contingent Interest Payment will be
made with respect to that Review Date. If payable, a Contingent Interest Payment will be made to the holders of record at the
close of business on the business day immediately preceding the applicable Interest Payment Date.
Because the notes are our
unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase &
Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase
& Co.’s ability to pay its obligations as they become due.
|
|
·
|
POTENTIAL
EARLY EXIT AS A RESULT OF THE OPTIONAL EARLY REDEMPTION FEATURE
—
We, at our election, may redeem the notes early,
in whole but not in part, on any of the Interest Payment Dates (other than the final Interest Payment Date). If the notes are
redeemed early, you will receive $1,000
plus
any accrued and unpaid Contingent Interest Payment for each $1,000 principal
amount note on the applicable Interest Payment Date on which the notes are redeemed early. Even in cases where the notes are redeemed
before maturity, you are not entitled to any fees and commissions described on the front cover of this pricing supplement.
|
|
·
|
THE
NOTES DO NOT GUARANTEE THE RETURN OF YOUR PRINCIPAL IF THE NOTES HAVE NOT BEEN REDEEMED EARLY
—
If the notes
have not been redeemed early, we will pay you your principal back at maturity only if a Trigger Event has not occurred.
However,
if the notes have not been redeemed early and a Trigger Event has occurred, you will lose more than 30% of your principal amount
and could lose up to the entire principal amount of your notes at maturity.
|
|
·
|
EXPOSURE
TO EACH OF THE INDICES
— The return on the notes is linked to the Least Performing Index, which will be any of the S&P
500
®
Index, the Russell 2000
®
Index or the EURO STOXX 50
®
Index.
|
The
S&P 500
®
Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S.
equity markets. For additional information about the S&P 500
®
Index, see the information set forth under “Equity
Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
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
EURO STOXX 50
®
Index consists of 50 component stocks of market sector leaders from within the Eurozone. The EURO
STOXX 50
®
Index and STOXX
®
are the intellectual property (including registered trademarks) of STOXX
Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The notes based
on the EURO STOXX 50
®
Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors
and neither STOXX Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about
the EURO STOXX 50
®
Index, see the information set forth under “Equity Index Descriptions — The EURO
STOXX 50
®
Index” in the accompanying underlying supplement.
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·
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TAX
TREATMENT
—
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement no. 4-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 Interest
Payments 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, 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 Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless
JPMorgan Structured Investments —
|
PS-5
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
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 Interest Payments if they are otherwise treated as FDAP Income). Under a recent IRS notice, withholding under FATCA
will not apply to payments of gross proceeds (other than any amount treated as FDAP Income) of a taxable disposition, including
an early redemption or redemption at maturity, of the notes. 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.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in one or more of the Indices or any of the equity securities included in
the Indices. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and the accompanying underlying supplement.
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·
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YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. If the notes have
not been redeemed early and a Trigger Event has occurred, you will lose 1% of your principal amount at maturity for every 1% that
the Ending Index Level of the Least Performing Index is less than its Initial Index Level.
Accordingly, under these circumstances,
you will lose more than 30% of your principal amount at maturity and could lose up to the entire principal amount of your notes
at maturity.
|
|
·
|
THE
NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL
—
The terms of the notes differ
from those of conventional debt securities in that, among other things, whether we pay interest is linked to the performance of
each Index. Contingent Interest Payments should not be viewed as periodic interest payments. If the notes have not been redeemed
early, we will make a Contingent Interest Payment with respect to a Review Date only if the closing level of each Index (in the
case of any Review Date other than the final Review Date) or the Ending Index Level of each Index (in the case of the final Review
Date) is greater than or equal to its Interest Barrier. If the notes have not been redeemed early and, with respect to any Review
Date, the closing level of any Index (in the case of any Review Date other than the final Review Date) or the Ending Index Level
of any Index(in the case of the final Review Date) is less than its Interest Barrier, no Contingent Interest Payment will be made
with respect to that Review Date, and the Contingent Interest Payment that would otherwise have been payable with respect to that
Review Date will not be accrued and subsequently paid. Accordingly, if the closing level of any Index on each Review Date (other
than the final Review Date) and the Ending Index Level of any Index are less than its Interest Barrier, you will not receive any
interest payments over the term of the notes.
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·
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CREDIT
RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO.
— The notes are subject to our and JPMorgan Chase & Co.’s
credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value
of the notes. Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the
notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined
by the market for taking that credit risk, is likely to adversely affect the value of the notes. If we and JPMorgan Chase
& Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could
lose your entire investment.
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·
|
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.
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·
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THE
OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT
—
If the notes are redeemed early, the amount
of Contingent Interest Payments made on the notes may be less than the amount of Contingent Interest Payments that might have
been payable if the notes were held to maturity, and, for each $1,000 principal amount note, you will receive $1,000
plus
any accrued and unpaid Contingent Interest Payment on the applicable Interest Payment Date on which the notes are redeemed early.
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·
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REINVESTMENT
RISK
— If your notes are redeemed early, the term of the notes may be reduced to as short as approximately three months
and you will not receive any Contingent Interest Payments after the applicable Interest Payment Date. There is no guarantee that
you would be able to reinvest the proceeds from an investment in the
|
JPMorgan Structured Investments —
|
PS-6
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
notes
at a comparable return and/or with a comparable interest rate for a similar level of risk in the event the notes are redeemed
early prior to the Maturity Date.
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·
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THE
APPRECIATION POTENTIAL OF THE NOTES IS LIMITED, AND YOU WILL NOT PARTICIPATE IN ANY APPRECIATION IN THE VALUE OF ANY INDEX
— The appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be paid over
the term of the notes, regardless of any appreciation in the value of any Index, which may be significant. You will not participate
in any appreciation in the value of any Index. Accordingly, the return on the notes may be significantly less than the return
on a direct investment in any Index during the term of the notes.
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·
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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 as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions
used to determine the pricing of the notes and the estimated value of the notes 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.
|
In
addition, JPMorgan Chase & Co. is currently one of the companies that make up
the S&P 500
®
Index
,
but JPMorgan Chase & Co. will have no obligation to consider your interests as a holder of the notes in taking any corporate
action that might affect the value of
the S&P 500
®
Index
.
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·
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YOU
ARE EXPOSED TO THE RISK OF DECLINE IN THE VALUE OF EACH INDEX
— Your return on the notes and your payment at maturity,
if any, is not linked to a basket consisting of the Indices. If the notes have not been redeemed early, your payment at maturity
is contingent upon the performance of each individual Index such that you will be equally exposed to the risks related to
any
of the Indices. The performance of the Indices may not be correlated. Poor performance by any of the Indices over the
term of the notes may negatively affect whether you will receive a Contingent Interest Payment on any Interest Payment Date and
your payment at maturity and will not be offset or mitigated by positive performance by any other Index. Accordingly, your investment
is subject to the risk of decline in the value of each Index.
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·
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THE
BENEFIT PROVIDED BY THE TRIGGER LEVEL MAY TERMINATE ON THE FINAL REVIEW DATE
— If the Ending Index Level of any Index
is less than its Trigger Level (
i.e.
, a Trigger Event occurs) and the notes have not been redeemed early, the benefit provided
by the Trigger Level will terminate and you will be fully exposed to any depreciation in the Least Performing Index.
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·
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YOUR
PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING INDEX
— Because the payment at maturity will be determined
based on the performance of the Least Performing Index, you will not benefit from the performance of any other Index. Accordingly,
if the notes have not been redeemed early and a Trigger Event has occurred, you will lose some or all of your principal amount
at maturity, even if the Ending Index Level of any other Index is greater than or equal to its Initial Index Level.
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·
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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 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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·
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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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·
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THE
ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING
— 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.
|
JPMorgan Structured Investments —
|
PS-7
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
|
·
|
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 secondary market credit spreads for structured 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 (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 notes
from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior
to the Maturity Date could result in a substantial loss to you. See the immediately following risk consideration for information
about additional factors that will impact any secondary market prices of the notes.
|
The
notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to
maturity. See “— Lack of Liquidity” below.
|
·
|
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 levels of the Indices,
including:
|
|
·
|
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;
|
|
·
|
our
internal secondary market funding rates for structured debt issuances;
|
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·
|
the
actual and expected volatility in the levels of the Indices;
|
|
·
|
the
time to maturity of the notes;
|
|
·
|
whether
the closing level of any Index has been, or is expected to be, less than its Interest Barrier on any Review Date (other than the
final Review Date), whether the Ending Index Level of any Index is expected to be less than its Interest Barrier and whether a
Trigger Event is expected to occur;
|
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·
|
the
optional early redemption feature and whether we are expected to redeem the notes early, which is likely to limit the value of
the notes;
|
|
·
|
the
dividend rates on the equity securities included in the Indices;
|
|
·
|
the
actual and expected positive or negative correlation between the Indices, or the actual or expected absence of any such correlation;
|
|
·
|
interest
and yield rates in the market generally;
|
|
·
|
the
exchange rates and the volatility of the exchange rates between the U.S. dollar and each of the currencies in which the equity
securities included in the EURO STOXX 50
®
Index trade and the correlation among those rates and the levels of the
EURO STOXX 50
®
Index; and
|
|
·
|
a
variety of other economic, financial, political, regulatory and judicial events.
|
Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS
may be willing to purchase your notes in the secondary market.
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·
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NO
DIVIDENDS OR VOTING RIGHTS
— As a holder of the notes, you will not have voting rights or rights to receive cash dividends
or other distributions or other rights that holders of the securities included in the Indices would have.
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|
·
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VOLATILITY
RISK
— Greater expected volatility with respect to an Index indicates a greater likelihood as of the Pricing Date that
the closing level of that Index on a Review Date (other than the final Review Date) or the Ending Index Level of that Index could
be less than its Interest Barrier and/or that a Trigger Event could occur. An Index’s volatility, however, can change significantly
over the term of the notes. The closing level of an Index could fall sharply on any day during the term of the notes, which could
result in your not receiving any Contingent Interest Payment or a significant loss of principal, or both.
|
|
·
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an
investment in the notes is subject to risks associated with small capitalization stocks WITH RESPECT TO TH
E
RUSSELL 2000
®
INDEX
— The stocks that constitute
the Russell 2000
®
Index 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. 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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·
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NON-U.S.
SECURITIES RISK WITH RESPECT TO THE EURO STOXX 50
®
INDEX
— The equity securities included in the EURO
STOXX 50
®
Index have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S.
equity securities involve risks associated with the securities markets in the home countries of the issuers of those non-U.S.
equity securities, including risks of volatility in those markets,
|
JPMorgan Structured Investments —
|
PS-8
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
governmental
intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly
available information about companies in some of these jurisdictions than there is about U.S. companies that are subject to the
reporting requirements of the SEC.
|
·
|
NO
DIRECT EXPOSURE TO FLUCTUATIONS IN FOREIGN EXCHANGE RATES WITH RESPECT TO THE EURO STOXX 50
®
INDEX
—
The value of your notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies in which
the equity securities included in the EURO STOXX 50
®
Index are denominated, although any currency fluctuations
could affect the performance of the EURO STOXX 50
®
Index. Therefore, if the applicable currencies appreciate or
depreciate relative to the U.S. dollar over the term of the notes, you will not receive any additional payment or incur any reduction
in any payment on the notes.
|
|
·
|
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.
|
JPMorgan Structured Investments —
|
PS-9
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
Historical Information
The following graphs show the historical weekly performance
of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index from
January 7, 2011 through June 24, 2016. The closing level of the S&P 500
®
Index on June 24, 2016 was 2,037.41.
The closing level of the Russell 2000
®
Index on June 24, 2016 was 1,127.538. The closing level of the EURO STOXX
50
®
Index on June 24, 2016 was 2,776.09.
We obtained the various closing levels of the Indices above
and below from Bloomberg Professional
®
service (“Bloomberg”), without independent verification. The
historical levels of each Index should not be taken as an indication of future performance, and no assurance can be given as to
the closing level of any Index on any Review Date or Ending Averaging Date. There can be no assurance that the performance of the
Indices will result in the return of any of your principal amount or the payment of any interest.
JPMorgan Structured Investments —
|
PS-10
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
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. See “Selected Risk Considerations — 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 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. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the
notes. See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price
(Price to Public) of the Notes” in this pricing supplement.
Secondary Market Prices of the Notes
For information about factors that will impact any secondary
market prices of the notes, see “Selected Risk Considerations — 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 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.”
JPMorgan Structured Investments —
|
PS-11
|
Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
|
|
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 “What Are the Payments on the Notes,
Assuming a Range of Performances for the Least Performing Index?” and “Hypothetical Examples of Amounts Payable on
the Notes” in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase
Considerations — Exposure to Each of the Indices” 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 valid
and binding obligations 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.
JPMorgan Structured Investments —
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PS-21
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Callable Contingent Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
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