August 19, 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
$4,959,000
Auto Callable Contingent Interest Notes Linked
to the Class A Common Stock of Facebook, Inc. due February 23, 2018
Fully and Unconditionally Guaranteed by JPMorgan
Chase & Co.
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·
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The notes are designed for investors who seek a Contingent
Interest Payment with respect to each Review Date for which the closing price of one share of the Reference Stock is greater than
or equal to 77.00% of the Initial Value, which we refer to as the Interest Barrier.
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The notes
will
be automatically called if the closing price of one share of the Reference Stock on any Review Date (other than the final Review
Date) is greater than or equal to the Initial Value.
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The earliest date on which an automatic call may be initiated
is November 21, 2016.
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Investors in the notes should be willing to accept the
risk of losing some or all of their principal and the risk that no Contingent Interest Payment may be made with respect to some
or all Review Dates.
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Investors should also be willing to forgo fixed interest
and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments.
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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 August 19, 2016 and are expected to
settle on or about August 24, 2016.
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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 and “Selected Risk Considerations”
beginning on page PS-4 of this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, 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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$20
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$980
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Total
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$4,959,000
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$99,180
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$4,859,820
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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 pay all of the selling commissions of $20.00 per $1,000 principal amount
note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
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The estimated value of the notes, when the terms of the
notes were set, was $970.30 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing
supplement for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement no. 597 to product supplement
no. 4-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.
Reference
Stock:
The Class A common stock of Facebook, Inc. (Bloomberg ticker:
FB). We refer to Facebook, Inc. as “Facebook.”
Contingent Interest Payments:
If the notes have not been automatically called and the closing
price of one share of the Reference Stock on any Review Date is greater than or equal to the Interest Barrier, you will receive
on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to $21.25 (equivalent
to a Contingent Interest Rate of 8.50% per annum, payable at a rate of 2.125% per quarter).
If the closing price of one share of the Reference Stock
on any Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.
Contingent
Interest Rate:
8.50% per annum, payable at a rate of 2.125% per quarter
Interest Barrier
/ Trigger Value:
$95.1412, which is 77.00% of the Initial Value
Pricing
Date:
On
August 19, 2016
Original Issue
Date (Settlement Date):
On or about August 24, 2016
Review Dates*:
November 21, 2016, February 21, 2017, May 19, 2017, August 21, 2017,
November 20, 2017 and February 20, 2018 (final Review Date)
Interest Payment
Dates*:
November 29, 2016, February 28, 2017, May 26, 2017, August
28, 2017, November 28, 2017 and the Maturity Date
Maturity Date*:
February 23, 2018
Call Settlement
Date*:
If the notes are automatically called on any Review Date (other
than the final Review Date), the first Interest Payment Date immediately following that Review Date
* 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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Automatic Call:
If the closing price of one share of the Reference Stock on any
Review Date (other than the final Review Date) is greater than or equal to the Initial Value, the notes will be automatically called
for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest Payment
applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Payment at Maturity:
If the notes have not been automatically called and the Final
Value is greater than or equal to the Trigger Value, 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 automatically called and the Final
Value is less than the Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows:
$1,000 + ($1,000 × Stock Return)
If the notes have not been automatically called and the Final
Value is less than the Trigger Value, you will lose more than 23.00% of your principal amount at maturity and could lose all of
your principal amount at maturity.
Stock Return:
(Final Value – Initial Value)
Initial Value
Initial Value:
The closing price of one share of the Reference Stock on the Pricing
Date, which was $123.56
Final Value:
The closing price of one share of the Reference Stock on the final
Review Date
Stock Adjustment
Factor:
The Stock Adjustment Factor is referenced in determining the closing price of
one share of the Reference Stock and is set equal to 1.0 on the Pricing Date. The Stock Adjustment Factor is subject to adjustment
upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks
— Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events”
in the accompanying product supplement for further information.
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PS-
1
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common
Stock of Facebook, Inc.
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How
the Notes Work
Payments in Connection with Review Dates
Preceding the Final Review Date
Payment at Maturity If the Notes Have Not
Been Automatically Called
Total Contingent Interest Payments
The table below illustrates the hypothetical total
Contingent Interest Payments per $1,000 principal amount note over the term of the notes based on the Contingent Interest Rate
of 8.50% per annum, depending on how many Contingent Interest Payments are made prior to automatic call or maturity.
Number of Contingent
Interest Payments
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Total Contingent
Interest Payments
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6
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$127.50
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5
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$106.25
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4
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$85.00
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3
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$63.75
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2
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$42.50
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1
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$21.25
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0
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$0.00
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PS-
2
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common
Stock of Facebook, Inc.
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Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to a hypothetical Reference Stock, assuming a range of performances for the hypothetical Reference Stock on the
Review Dates. The hypothetical payments set forth below assume the following:
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an Initial Value of $100.00;
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an Interest Barrier and a Trigger Value of $77.00 (equal to 77.00% of the
hypothetical Initial Value); and
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a Contingent Interest Rate of 8.50% per annum (payable at a rate of 2.125%
per quarter).
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The hypothetical Initial Value of $100.00 has
been chosen for illustrative purposes only and does not represent the actual Initial Value. The actual Initial Value is the closing
price of one share of the Reference Stock on the Pricing Date and is specified under “Key Terms — Initial Value”
in this pricing supplement. For historical data regarding the actual closing prices of one share of the Reference Stock, please
see the historical information set forth under “The Reference Stock” in this pricing supplement.
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 examples have been rounded for ease of analysis.
Example 1 — Notes are automatically
called on the first Review Date.
Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$105.00
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$1,021.25
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Total Payment
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$1,021.25 (2.125% return)
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Because the closing price of one share of the
Reference Stock on the first Review Date is greater than or equal to the Initial Value, the notes will be automatically called
for a cash payment, for each $1,000 principal amount note, of $1,021.25 (or $1,000
plus
the Contingent Interest Payment
applicable to the first Review Date), payable on the applicable Call Settlement Date. No further payments will be made on the notes.
Example 2 — Notes have NOT been automatically
called and the Final Value is greater than or equal to the Trigger Value.
Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$95.00
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$21.25
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Second Review Date
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$85.00
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$21.25
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Third through Fifth Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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$90.00
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$1,021.25
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Total Payment
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$1,063.75 (6.375% return)
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Because the notes have not been automatically
called and the Final Value is greater than or equal to the Trigger Value, the payment at maturity, for each $1,000 principal amount
note, will be $1,021.25 (or $1,000
plus
the Contingent Interest Payment applicable to the final Review Date). When added
to the Contingent Interest Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal
amount note, is $1,063.75.
Example 3 — Notes have NOT been automatically
called and the Final Value is less than the Trigger Value.
Date
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Closing Price
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Payment (per $1,000 principal amount note)
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First Review Date
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$60.00
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$0
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Second Review Date
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$55.00
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$0
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Third through Fifth Review Dates
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Less than Interest Barrier
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$0
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Final Review Date
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$50.00
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$500.00
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Total Payment
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$500.00 (-50.00% return)
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PS-
3
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common
Stock of Facebook, Inc.
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Because the notes have not been automatically
called, the Final Value is less than the Trigger Value and the Stock Return is -50.00%, the payment at maturity will be $500.00
per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 × (-50.00%)] = $500.00
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term or until automatically called.
These hypotheticals
do not reflect 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” section of the accompanying product 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 notes have not been automatically called and the Final Value is less than the Trigger Value, you will lose
1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value. Accordingly, under these
circumstances, you will lose more than 23.00% of your principal amount at maturity and could lose all of your principal amount
at maturity.
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THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
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If the notes have not been automatically
called, we will make a Contingent Interest Payment with respect to a Review Date only if the closing price of one share of the
Reference Stock on that Review Date is greater than or equal to the Interest Barrier. If the closing price of one share of the
Reference Stock on that Review Date is less than the Interest Barrier, no Contingent Interest Payment will be made with respect
to that Review Date. Accordingly, if the closing price of one share of the Reference Stock on each Review Date is less than the
Interest Barrier, you will not receive any interest payments over the term of the notes.
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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.
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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,
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regardless of any appreciation in the
price of the Reference Stock, which may be significant. You will not participate in any appreciation in the price of the Reference
Stock.
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.
PS-
4
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common
Stock of Facebook, Inc.
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THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
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If the Final Value is less than the
Trigger Value and the notes have not been automatically called, the benefit provided by the Trigger Value will terminate and you
will be fully exposed to any depreciation in the closing price of one share of the Reference Stock.
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THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
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If your notes are automatically called,
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 Call Settlement Date. There is no guarantee that you would be able to reinvest the proceeds from
an investment in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases
where the notes are called before maturity, you are not entitled to any fees and commissions described on the front cover of this
pricing supplement.
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YOU WILL NOT RECEIVE DIVIDENDS ON THE REFERENCE STOCK OR HAVE ANY RIGHTS WITH RESPECT TO THE REFERENCE
STOCK.
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NO AFFILIATION WITH THE REFERENCE STOCK ISSUER —
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We have not independently verified
any of the information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation
into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information,
whether contained in SEC filings or otherwise.
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THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
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The calculation agent will not make
an adjustment in response to all events that could affect the Reference Stock. The calculation agent may make adjustments in response
to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but
the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.
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LIMITED TRADING HISTORY —
The Reference Stock commenced
trading on The NASDAQ Stock Market on May 18, 2012 and therefore has limited historical performance. Accordingly, historical information
for the Reference Stock is available only since that date. Past performance should not be considered indicative of future performance.
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THE RISK OF THE CLOSING PRICE OF THE REFERENCE STOCK FALLING BELOW THE INTEREST BARRIER OR THE
TRIGGER VALUE IS GREATER IF THE PRICE OF THE REFERENCE STOCK IS VOLATILE.
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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 the 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.
PS-
5
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common
Stock of Facebook, Inc.
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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 Reference Stock.
Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be
reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at
which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the
Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many
economic and market factors” in the accompanying product supplement.
The
Reference Stock
All information contained herein on the Reference
Stock and on Facebook is derived from publicly available sources, without independent verification. According to its publicly available
filings with the SEC, Facebook builds products that enable people to connect and share through mobile devices and personal computers.
The Class A common stock of Facebook, Inc., par value $0.000006 per share (Bloomberg ticker: FB), is registered under the Securities
Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on The NASDAQ Stock Market, which we refer
to as the relevant exchange for purposes of Facebook in the accompanying product supplement. Information provided to or filed with
the SEC by Apple pursuant to the Exchange Act can be located by reference to SEC file number 001-35551, and can be accessed through
www.sec.gov. We do not make any representation that these publicly available documents are accurate or complete.
Historical Information
The following graph sets forth the historical
performance of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from May 18,
2012 through August 19, 2016. The Reference Stock commenced trading on The NASDAQ Stock Market on May 18, 2012 and therefore has
limited historical performance. The closing price of one share of the Reference Stock on August 19, 2016 was $123.56. 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 corporate actions, such as stock splits, public
offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
PS-
6
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common
Stock of Facebook, Inc.
|
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The historical closing prices of one share
of the Reference Stock 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 Reference Stock on any Review Date. There can be no assurance that the performance of the Reference Stock
will result in the return of any of your principal amount or the payment of any interest.
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 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
PS-
7
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common
Stock of Facebook, Inc.
|
|
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.
The Estimated Value of the Notes
The estimated
value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical
components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate described
below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes does
not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time.
The internal funding rate used in the determination of the estimated value of the notes is based on, among other things, our and
our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability
management costs of the notes
in comparison to those costs for the conventional fixed-rate
debt of JPMorgan Chase & Co
. For additional information, see “Selected Risk Considerations
— The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.
The value of the derivative or derivatives
underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent
on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are
market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about
future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes
are set based on market conditions and other relevant factors and assumptions existing at that time.
The estimated value of the notes does not
represent future values of the notes and may differ from others’ estimates. Different pricing models and assumptions could
provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions
and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value
of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase &
Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
JPMS would be willing to buy notes from you in secondary market transactions.
The estimated value of the notes is lower
than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included
in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated
dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk
and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed
to other affiliated or unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits.
See “Selected Risk Considerations — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price
to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For information about factors that will impact
any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market
Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in
the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price
of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will
decline to zero over an initial predetermined period. These costs can include projected hedging profits, if 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.
PS-
8
| Structured Investments
Auto Callable Contingent Interest Notes Linked to the Class A Common
Stock of Facebook, Inc.
|
|
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 “How the Notes Work”
and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return profile of the
notes and “The Reference Stock” 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. 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” section of the accompanying
product 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.
PS-9 | Structured Investments
Auto Callable Contingent Interest Notes Linked to the
Class A Common
Stock of Facebook, Inc.
|
|
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