Amended and restated pricing supplement
no. 589-A*
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
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Registration Statement Nos. 333-209682 and
333-209682-01
Dated August 23, 2016
Rule 424(b)(8)
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JPMorgan Chase Financial Company LLC
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Structured
Investments
|
|
$3,000,000
Digital Dual Directional Contingent Buffered
Notes Linked to the EURO STOXX 50
®
Index due February 22, 2018
Fully and Uncondit
i
onally Guaranteed
by JPMorgan Chase & Co.
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General
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·
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The notes are designed for investors who seek a fixed return of 17.00%
if the Ending Index Level of the EURO STOXX 50
®
Index is greater than or equal to the Initial Index Level or is
less than the Initial Index Level by up to 10%.
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·
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Investors should be willing to forgo interest and dividend payments
and, if the Ending Index Level is less than the Initial Index Level by more than 10%, be willing to lose some or all of their principal
amount at maturity.
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·
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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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·
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Minimum denominations of $10,000 and integral multiples of $1,000 in
excess thereof
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Key Terms
Issuer:
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JPMorgan Chase Financial Company LLC
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Guarantor:
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JPMorgan Chase & Co.
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Index:
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The EURO STOXX 50
®
Index (Bloomberg ticker: SX5E).
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Payment at Maturity:
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If the Ending Index Level is greater than or equal to the Initial Index Level or is less than the Initial Index Level by up to the Contingent Buffer Amount, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Contingent Digital Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
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$1,000 + ($1,000 × Contingent Digital Return)
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If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
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$1,000 + ($1,000 × Index Return)
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If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 10%, you will lose more than 10% of your principal amount at maturity and may lose all of your principal amount at maturity.
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Contingent Digital Return:
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17.00%, which reflects the maximum return on the notes. Accordingly, the maximum payment at maturity per $1,000 principal amount note is $1,170.00.
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Contingent Buffer Amount:
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10%
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Index Return:
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(Ending Index Level –
Initial Index Level)
Initial Index Level
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Initial Index Level:
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The closing level of the Index on the Pricing Date, which was 2,995.30
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Ending Index Level:
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The arithmetic average of the closing levels of the Index on the Ending Averaging Dates
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Pricing Date
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August 18, 2016
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Original Issue Date:
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On or about August 23, 2016 (Settlement Date)
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Ending Averaging Dates
†
:
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February 13, 2018, February 14, 2018, February 15, 2018, February 16, 2018 and February 19, 2018
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Maturity Date
†
:
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February 22, 2018
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CUSIP:
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46646EVK5
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*
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This amended and restated pricing supplement no. 589-A amends and restates and supersedes the pricing supplement no. 589 related
hereto dated August 18, 2016 to product supplement no. 4-I in its entirety (the pricing supplement no. 589 is available on the
SEC website at https://www.sec.gov/Archives/edgar/data/19617/000119312516687083/d245436d424b2.htm).
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†
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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 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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Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-3 of
this amended and restated 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
amended and restated pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and
prospectus. Any representation to the contrary is a criminal offense.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Issuer
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Per note
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$1,000
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$12.50
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$987.50
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Total
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$3,000,000
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$37,500
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$2,962,500
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(1)
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See “Supplemental Use of Proceeds” in this amended and restated pricing supplement for information about the components
of the price to public of the notes.
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(2)
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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 $12.50 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 $988.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this amended
and restated 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.
August 23, 2016
Additional
Terms Specific to the Notes
You should read this amended and restated 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 amended and restated 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.
This amended and restated pricing supplement
amends and restates and supersedes the pricing supplement no. 589 related hereto dated August 18, 2016 to product supplement no.
4-I in its entirety
. 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):
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·
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Product supplement no. 4-I dated April 15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012644/crt_dp64831-424b2.pdf
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·
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Underlying supplement no. 1-I dated April 15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012649/crt-dp64909_424b2.pdf
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·
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Prospectus supplement and prospectus, each dated April 15, 2016:
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http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website
is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this amended and restated pricing supplement, “we,”
“us” and “our” refer to JPMorgan Financial.
JPMorgan Structured Investments
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PS-
1
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Digital Dual Directional Contingent Buffered Notes Linked to the EURO STOXX 50
®
Index
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What Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Index?
The following table and examples illustrate
the hypothetical total return and the hypothetical payment at maturity on the notes. The “total return” as used in
this amended and restated pricing supplement is the number, expressed as a percentage, that results from comparing the payment
at maturity per $1,000 principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below assumes
an Initial Index Level of 3,000 and reflects the Contingent Digital Return of 17.00% and the Contingent Buffer Amount of 10%. Each
hypothetical total return or payment at maturity set forth below is for illustrative purposes only and may not be the actual total
return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and in the examples
below have been rounded for ease of analysis.
Ending Index
Level
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Index Return
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Total Return
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5,400.00
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80.00%
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17.00%
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4,950.00
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65.00%
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17.00%
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4,500.00
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50.00%
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17.00%
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4,200.00
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40.00%
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17.00%
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3,900.00
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30.00%
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17.00%
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3,510.00
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17.00%
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17.00%
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3,450.00
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15.00%
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17.00%
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3,300.00
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10.00%
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17.00%
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3,150.00
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5.00%
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17.00%
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3,075.00
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2.50%
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17.00%
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3,000.00
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0.00%
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17.00%
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2,925.00
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-2.50%
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17.00%
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2,850.00
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-5.00%
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17.00%
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2,700.00
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-10.00%
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17.00%
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2,699.70
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-10.01%
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-10.01%
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2,550.00
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-15.00%
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-15.00%
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2,400.00
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-20.00%
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-20.00%
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2,250.00
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-25.00%
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-25.00%
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2,100.00
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-30.00%
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-30.00%
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1,800.00
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-40.00%
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-40.00%
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1,500.00
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-50.00%
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-50.00%
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1,200.00
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-60.00%
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-60.00%
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900.00
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-70.00%
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-70.00%
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600.00
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-80.00%
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-80.00%
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300.00
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-90.00%
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-90.00%
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0.00
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-100.00%
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-100.00%
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Hypothetical Examples of Amount
Payable at Maturity
The following examples illustrate how the total
payment at maturity in different hypothetical scenarios is calculated.
Example 1: The level of the Index increases
from the Initial Index Level of 3,000 to an Ending Index Level of 3,075.
Because the Ending Index Level of 3,075 is greater
than the Initial Index Level of 3,000, regardless of the Index Return, the investor receives a payment at maturity of $1,170.00
per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
17.00%) = $1,170.00
Example 2: The level of the Index decreases
from the Initial Index Level of 3,000 to an Ending Index Level of 2,700.
Although the Index Return is negative, because
the Ending Index Level of 2,700 is less than the Initial Index Level of 3,000 by up to the Contingent Buffer Amount of 10%, the
investor receives a payment at maturity of $1,170.00 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
17.00%) = $1,170.00
Example 3: The level of the Index increases
from the Initial Index Level of 3,000 to an Ending Index Level of 4,200.
Because the Ending Index Level of 4,200 is greater
than the Initial Index Level of 3,000 and although the Index Return of 40% exceeds the Contingent Digital Return of 17.00%, the
investor is entitled to only the Contingent Digital Return and receives a payment at maturity of $1,170.00 per $1,000 principal
amount note, calculated as follows:
$1,000 + ($1,000 ×
17.00%) = $1,170.00
Example 4: The level of the Index decreases
from the Initial Index Level of 3,000 to an Ending Index Level of 1,500.
Because the Ending Index Level of 1,500 is less
than the Initial Index Level of 3,000 by more than the Contingent Buffer Amount of 10% and the Index Return is -50%, the investor
receives a payment at maturity of $500 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 ×
-50%) = $500
The hypothetical returns and hypothetical payments
on the notes shown above apply
only if you hold the notes for their entire term.
These hypotheticals do not reflect 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.
JPMorgan Structured Investments
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PS-
2
|
Digital Dual Directional Contingent Buffered Notes Linked to the EURO STOXX 50
®
Index
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Selected Purchase Considerations
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·
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FIXED APPRECIATION POTENTIAL
—
If the Ending Index Level is greater than or equal to the Initial Index Level or is less than the Initial Index Level by up to
the Contingent Buffer Amount, you will receive a fixed return equal to the Contingent Digital Return of 17.00% at maturity, which
also reflects the maximum return on the notes at maturity.
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.
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·
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LIMITED PROTECTION AGAINST LOSS
— We will pay you your principal back at maturity if the Ending Index Level is equal to the Initial Index Level or is less
than the Initial Index Level by up to the Contingent Buffer Amount of 10%. If the Ending Index Level is less than the Initial Index
Level by more than the Contingent Buffer Amount, for every 1% that the Ending Index Level is less than the Initial Index Level,
you will lose an amount equal to 1% of the principal amount of your notes. Under these circumstances, you will lose more than 10%
of your principal amount at maturity and may lose all of your principal amount at maturity.
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·
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RETURN LINKED TO THE EURO STOXX 50
®
INDEX
—
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. The following discussion, when read in combination with that section, constitutes the full opinion of our special
tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing
of notes.
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Based on current market conditions,
in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt
instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences
— Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the
accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term
capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue
price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss
on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any,
to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate
to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive
effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by this notice.
Withholding under legislation
commonly referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated
as interest paid with respect to the notes. Under a recent IRS notice, withholding under FATCA will not apply to payments of gross
proceeds (other than any amount treated as interest) of a taxable disposition, including redemption at maturity, of the notes.
You should consult your tax adviser regarding the potential application of FATCA to the notes.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index.
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. The return on the notes at maturity is linked to the
performance of the Index and will depend on whether, and the extent to which, the Index Return is positive or negative. If the
Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount of 10%, you will lose 1% of the
principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level. Accordingly,
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JPMorgan Structured Investments
|
PS-
3
|
Digital Dual Directional Contingent Buffered Notes Linked to the EURO STOXX 50
®
Index
|
under these circumstances, you will lose more
than 10% of your principal amount at maturity and may lose all of your principal amount at maturity.
|
·
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE CONTINGENT DIGITAL
RETURN
—
If the Ending
Index Level is greater than or equal to the Initial Index Level or is less than the Initial Index Level by up to the Contingent
Buffer Amount, for each $1,000 principal amount note, you will receive at maturity $1,000
plus
an additional return equal
to the Contingent Digital Return of 17.00%, regardless of the appreciation in the Index, which may be significant.
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·
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YOUR ABILITY TO RECEIVE THE CONTINGENT DIGITAL RETURN MAY TERMINATE
ON THE FINAL ENDING AVERAGING DATE
— If the Ending Index Level is less than the Initial Index Level by more than the
Contingent Buffer Amount, you will not be entitled to receive the Contingent Digital Return at maturity. Under these circumstances,
you will lose more than 10% of your principal amount at maturity and may lose all of your principal amount at maturity.
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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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·
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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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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.
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·
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THE BENEFIT
PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE
— If the Ending Index Level
is less than the Initial Index Level by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount
will terminate and you will be fully exposed to any depreciation in the Index.
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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 amended and restated pricing supplement.
|
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·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES
OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES
— The estimated value of the notes is determined by reference
to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on
market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility,
dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for notes that
are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the
future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly
based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest
rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from
you in secondary market transactions. See “The Estimated Value of the Notes” in this amended and restated pricing supplement.
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·
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THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL
FUNDING RATE
— The internal funding rate used in the determination of the estimated value of the notes is based on, among
other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan
Chase & Co. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms
of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this amended and
restated pricing supplement.
|
JPMorgan Structured Investments
|
PS-
4
|
Digital Dual Directional Contingent Buffered Notes Linked to 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 internal
secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this amended
and restated pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of
your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on
your customer account statements).
|
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE
ORIGINAL ISSUE PRICE OF THE NOTES
— Any secondary market prices of the notes will likely be lower than
the
original issue price of the notes
because,
among other things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances
and, also, because secondary market prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any,
and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which
JPMS will be willing to buy 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.
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·
|
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 level of the Index, including:
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any actual or potential change in our
or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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customary bid-ask spreads for similarly
sized trades;
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our internal secondary market funding
rates for structured debt issuances;
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the actual and expected volatility of
the Index;
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the time to maturity of the notes;
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the dividend rates on the equity securities
included in the Index;
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interest and yield rates in the market
generally;
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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 Index trade
and the correlation among those rates and the level of the Index; and
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a variety of other economic, financial,
political, regulatory and judicial events.
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Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements.
This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your
notes in the secondary market.
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NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS
— As
a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends
or other distributions or other rights that holders of securities included in the Index would have.
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NON-U.S. SECURITIES RISK
—
The equity securities included in the 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, 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.
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NO DIRECT EXPOSURE TO FLUCTUATIONS
IN FOREIGN EXCHANGE RATES
— The value of your notes will not be adjusted for exchange rate fluctuations between the U.S.
dollar and the currencies upon which the equity securities included in the Index are based, although any currency fluctuations
could affect the performance of the 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.
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LACK OF LIQUIDITY
— The
notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is
not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the
notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able
to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes.
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JPMorgan Structured Investments
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Historical Information
The following graph sets forth the historical
performance of the Index based on the weekly historical closing levels of the Index from January 7, 2011 through August 12, 2016.
The closing level of the Index on August 18, 2016 was 2,995.30. We obtained the closing levels of the Index above and below from
the Bloomberg Professional
®
service (“Bloomberg”), without independent verification.
The historical closing levels of the Index should
not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on any
Ending Averaging Date. There can be no assurance that the performance of the Index will result in the return of any of your principal
amount.
The Estimated Value of the
Notes
The estimated value of the notes set forth on
the cover of this amended and restated 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 amended and restated 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 amended and restated 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 amended and restated pricing supplement.
JPMorgan Structured Investments
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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 amended and restated 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.”
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 Is the Total Return
on the Notes at Maturity, Assuming a Range of Performances for the Index?” and “Hypothetical Examples of Amount Payable
at Maturity” in this amended and restated pricing supplement for an illustration of the risk-return profile of the notes
and “Selected Purchase Considerations — Return Linked to the EURO STOXX 50
®
Index” in this amended
and restated 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
Restated below is the opinion of Davis Polk &
Wardwell LLP, as our special products counsel, delivered on August 18, 2016 related to the notes:
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 amended and restated
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.
JPMorgan Structured Investments
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