Key Terms
Issuer:
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JPMorgan Chase & Co.
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Payment at Maturity:
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On the Maturity Date, we will pay you the principal amount of your notes
plus
any accrued and unpaid interest; provided that your notes are outstanding and have not previously been called on any Redemption Date.
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Call Feature:
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On the last calendar day of February and on August 29th of each year, beginning on August 29, 2023 and ending on the Maturity Date (each, a “Redemption Date”), we may redeem your notes, in whole but not in part, at a price equal to the principal amount being redeemed plus any accrued and unpaid interest, subject to the Business Day Convention and the Interest Accrual Convention described below and in the accompanying product supplement.
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Interest:
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Subject to the Interest Accrual Convention, with respect to
each Interest Period, for each $1,000 principal amount note, we will pay you interest in arrears on each Interest Payment Date
in accordance with the following formula:
$1,000 x Interest Rate x Day Count Fraction.
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Interest Period:
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The period beginning on and including the Original Issue Date of the notes and ending on but excluding the first Interest Payment Date, and each successive period beginning on and including an Interest Payment Date and ending on but excluding the next succeeding Interest Payment Date, subject to the Interest Accrual Convention described below and in the accompanying product supplement.
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Interest Payment Date:
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Interest on the notes will be payable in arrears on the last calendar day of February and on August 29th of each year, beginning on February 28, 2017 to and including the Maturity Date, subject to the Business Day Convention and Interest Accrual Convention described below and in the accompanying product supplement.
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Interest Rate:
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For the applicable Interest Period, the Interest Rate on your notes will be equal to:
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From (and including)
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To (but excluding)
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Interest Rate
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August 29, 2016
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August 29, 2025
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3.00% per annum
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August 29, 2025
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August 29, 2029
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3.25% per annum
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August 29, 2029
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August 29, 2033
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3.50% per annum
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August 29, 2033
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August 29, 2034
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4.00% per annum
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August 29, 2034
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August 29, 2035
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5.00% per annum
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August 29, 2035
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August 29, 2036
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6.00% per annum
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The dates above refer to originally scheduled Interest Payment Dates.
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Pricing Date:
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August 25, 2016
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Original Issue Date:
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August 29, 2016 (Settlement Date), subject to the Business Day Convention.
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Maturity Date:
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August 29, 2036, subject to the Business Day Convention.
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Business Day Convention:
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Following
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Interest Accrual Convention:
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Unadjusted
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Day Count Fraction:
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30/360
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CUSIP:
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48128GG61
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Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-19 of the accompanying product supplement and “Selected Risk Considerations”
beginning on page PS-3 of this pricing supplement.
Neither the U.S. Securities and Exchange Commission, nor any
state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing
supplement, the accompanying product supplement or the accompanying 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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$21.24
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$978.76
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Total
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$5,276,000
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$112,062.24
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$5,163,937.76
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(1) The price to the public includes the
estimated cost of hedging our obligations under the notes through one or more of our affiliates.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS,
acting as agent for JPMorgan Chase & Co., will pay all of the selling commissions of $21.24 per $1,000 principal amount note
it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement
The notes are not bank deposits, are not insured or guaranteed
by the Federal Deposit Insurance Corporation or any other governmental agency, and are not the obligations of, or guaranteed by,
a bank.
August 25, 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 E 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 advisors before you invest in the notes.
You may
access these docum
ents 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 19617. As used in this pricing supplement, “we,” “us,” or “our”
refers to JPMorgan Chase & Co.
Regulatory
Developments
The ultimate
impact of proposed U.S. banking regulations relating to total loss-absorbing capacity is uncertain, and could require JPMorgan
Chase & Co. to issue a substantial amount of new debt and thereby significantly increase its funding costs.
On October
30, 2015, the Board of Governors of the Federal Reserve System (the “Federal Reserve”) issued proposed rules (the
“proposed TLAC rules”) that would require the top-tier holding companies of eight U.S. global systemically important
bank holding companies (“U.S. G-SIB BHCs”), including JPMorgan Chase & Co., among other things, to maintain minimum
amounts of loss-absorbing capacity in the form of long-term debt satisfying certain eligibility criteria (“eligible LTD”),
commencing January 1, 2019. The proposed TLAC rules would disqualify from eligible LTD, among other instruments, senior debt securities
that permit acceleration for reasons other than insolvency or payment default, as well as debt securities that are not governed
by U.S. law and structured notes. The currently outstanding senior long-term debt of U.S. G-SIB BHCs, including JPMorgan Chase
& Co., includes structured notes as well as other debt that typically permits acceleration for reasons other than insolvency
or payment default and, as a result, none of such outstanding senior long-term debt or any subsequently issued senior long-term
debt with similar terms (including the notes offered by this prospectus supplement) would qualify as eligible LTD under the proposed
TLAC rules. The Federal Reserve has requested comment on whether certain currently outstanding instruments should be allowed to
count as eligible LTD “despite containing features that would be prohibited under the proposal.” The steps that the
U.S. G-SIB BHCs, including JPMorgan Chase & Co., may need to take to come into compliance with the final TLAC rules, including
the amount and form of long-term debt that must be refinanced or issued, will depend in substantial part on the ultimate eligibility
requirements for senior long-term debt and any grandfathering provisions. To the extent that outstanding senior long-term debt
of JPMorgan Chase & Co. is not classified as eligible LTD under the TLAC rule as finally adopted by the Federal Reserve, JPMorgan
Chase & Co. could be required to issue a substantial amount of new senior long-term debt which could significantly increase
its funding costs.
Selected
Purchase Considerations
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·
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PRESERVATION OF CAPITAL AT MATURITY OR UPON REDEMPTION
—
We will pay you at least the principal amount of your notes if you hold the notes to maturity or to the Redemption
Date, if any, on which we elect to call the notes. Because the notes are our unsecured and unsubordinated obligations, payment
of any amount at maturity or upon early redemption is subject to our ability to pay our obligations as they become due.
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·
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PERIODIC INTEREST PAYMENTS
—
The notes
offer periodic interest payments on each Interest Payment Date at the applicable Interest Rate. Interest, if any, will be paid
in arrears on each Interest Payment Date, to the holders of record at the close of business on the Business Day immediately preceding
the applicable Interest Payment Date. The interest payments will be based on the Interest Rate listed on the cover of this pricing
supplement. The yield on the notes may be less than the overall return you would receive from a conventional debt security that
you could purchase today with the same maturity as the notes.
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·
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POTENTIAL PERIODIC REDEMPTION BY US AT OUR OPTION
—
At our option, we may redeem the notes, in whole but not in part, on any of the Redemption Dates set forth on the
cover of this pricing supplement, at a price equal to the principal amount being redeemed plus any accrued and unpaid interest,
subject to the Business Day Convention and the Interest Accrual Convention described on the cover of this pricing supplement and
in the accompanying product supplement. Any accrued and unpaid interest on the notes redeemed will be paid to the person who is
the holder of record of such notes at the close of business on the Business Day immediately preceding the applicable Redemption
Date. Even in cases where the notes are called before maturity, noteholders are not entitled to any fees or commissions described
on the front cover of this pricing supplement.
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Callable Step-Up Fixed Rate Notes
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PS-
2
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·
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TREATED AS FIXED RATE DEBT INSTRUMENTS —
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement for a detailed discussion of the U.S. federal income tax consequences of the acquisition, ownership and disposition
of a note and consult your tax advisor concerning your particular circumstances. Subject to the limitations described therein,
the notes will be treated for U.S. federal income tax purposes as “fixed rate debt instruments.” Accordingly, interest
paid on the notes will generally be taxable to you as ordinary interest income at the time it accrues or is received in accordance
with your method of accounting for U.S. federal income tax purposes. In general, gain or loss realized on the sale, exchange or
other disposition of the notes will be capital gain or loss. As discussed in the section entitled “Material U.S. Federal
Income Tax Consequences – Tax Treatment of Indebtedness – Notes Subject to Call or Put Options”, we will be
deemed to redeem the notes on each Redemption Date in a manner that minimizes their yield. Notwithstanding the foregoing discussion,
because the period between the last step-up date and the final maturity date does not exceed one year, on August 29, 2035, solely
for the purpose of determining original issue discount, the notes should be treated as “short-term debt instruments”
for the final period. Prospective purchasers are urged to consult their own tax advisors regarding the U.S. federal income tax
consequences of an investment in the notes. Purchasers who are not initial purchasers of notes at their issue price on the Original
Issue Date should consult their tax advisors with respect to the tax consequences of an investment in the notes, and the potential
application of special rules.
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Non-U.S.
Holders should note that final Treasury regulations were released on legislation that imposes a withholding tax of 30% on payments
to certain foreign entities unless information reporting and diligence requirements are met, as described in “Material U.S.
Federal Income Tax Consequences-Tax Consequences to Non-U.S. Holders” in the accompanying product supplement. Pursuant to
the final regulations, such withholding tax will generally apply to obligations that are issued on or after July 1, 2014; therefore,
the notes will generally be subject to this withholding tax. The withholding tax described above will not apply to payments of
gross proceeds from the sale, exchange or other disposition of the notes made before January 1, 2019.
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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·
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WE MAY CALL YOUR NOTES PRIOR TO THEIR SCHEDULED MATURITY
DATE —
We may choose to call the notes early or choose not to call the notes early on any Redemption Date in our sole
discretion. If the notes are called early, you will receive the principal amount of your notes plus any accrued and unpaid interest
to, but not including, the Redemption Date. The aggregate amount that you will receive through and including the Redemption Date
will be less than the aggregate amount that you would have received had the notes not been called early. If we call the notes
early, your overall return may be less than the yield which the notes would have earned if you held your notes to maturity and
you may not be able to reinvest your funds at the same rate as the original notes. We may choose to call the notes early, for
example, if U.S. interest rates decrease significantly or if volatility of U.S. interest rates decreases significantly.
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·
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STEP-UP NOTES PRESENT DIFFERENT INVESTMENT CONSIDERATIONS
THAN FIXED RATE NOTES —
The rate of interest paid by us on the notes will increase upward from the initial stated rate
of interest of the notes. The notes are callable by us, in whole but not in part, prior to maturity and, therefore, contain the
call risk described above. If we do not call the notes, the interest rate will step up as described on the cover of this pricing
supplement. Unless general interest rates rise significantly, you should not expect to earn the highest scheduled Interest Rate
set forth on the cover of this pricing supplement because the notes are likely to be called prior to maturity if interest rates
remain the same or fall during the term of your notes. When determining whether to invest in a stepped-up rate note, you should
not focus on the highest stated Interest Rate, which usually is the final stepped-up rate of interest. You should instead focus
on, among other things, the overall annual percentage rate of interest to maturity or call as compared to other equivalent investment
alternatives.
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·
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THE INTEREST RATE OF THE NOTES DOES NOT STEP UP SIGNIFICANTLY
UNTIL LATER IN THE TERM OF THE NOTES —
Unless general interest rates rise significantly, you should not expect to earn
the highest scheduled Interest Rate set forth on the cover of this pricing supplement because the notes are likely to be called
prior to maturity if interest rates remain the same or fall during the term of your notes. Additionally, the interest rate on
the notes does not step up significantly until later in the term of the notes. If interest rates rise faster than the incremental
increases in the interest rates of the notes, the notes may have an interest rate that is significantly lower than the interest
rates at that time and the secondary market value of the notes may be significantly lower than other instruments with a similar
term but higher interest rates. In other words, you should only purchase the notes if you are comfortable receiving the stated
interest rates set forth on the cover of this pricing supplement for the entire term of the notes.
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·
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LONGER DATED NOTES MAY BE MORE RISKY THAN SHORTER DATED
NOTES
—
By purchasing a note with a longer tenor, you are more exposed to fluctuations in interest rates than
if you purchased a note with a shorter tenor. The present value of a longer-dated note tends to be more sensitive to rising interest
rates than the present value of a shorter-dated note. If interest rates rise, the present value of a longer-dated note will fall
faster than the present value of a shorter-dated note. You should only purchase these notes if you are comfortable with owning
a note with a longer tenor.
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·
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CREDIT RISK OF JPMORGAN CHASE & CO. —
The
notes are subject to the credit risk of JPMorgan Chase & Co., and our credit ratings and credit spreads may adversely affect
the market value of the notes. Investors are dependent on JPMorgan Chase & Co.’s ability to pay all amounts due on the
notes, and therefore
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Callable Step-Up Fixed Rate Notes
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PS-
3
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investors
are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline in our credit ratings
or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of
the notes. If we 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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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 hedging our obligations
under the notes. In performing these duties, our 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 business activities,
including hedging and trading activities for our own accounts or on behalf of customers, could cause our economic interests to
be adverse to yours and could adversely affect any payments on the notes and the value of the notes. It is possible that hedging
or trading activities of ours or our affiliates 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 the Notes Generally” in the accompanying
product supplement for additional information about these risks.
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·
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JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED
OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN THE FUTURE.
ANY SUCH RESEARCH, OPINIONS OR RECOMMENDATIONS COULD AFFECT THE MARKET VALUE OF THE NOTES
—
JPMS and its affiliates
publish research from time to time on financial markets and other matters that may influence the value of the notes, or express
opinions or provide recommendations that are inconsistent with purchasing or holding the notes. JPMS and its affiliates may have
published research or other opinions that call into question the investment view implicit in an investment in the notes. Any research,
opinions or recommendations expressed by JPMS or its affiliates may not be consistent with each other and may be modified from
time to time without notice. Investors should undertake their own independent investigation of the merits of investing in the
notes.
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·
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CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT
THE VALUE OF THE NOTES PRIOR TO MATURITY
—
While the Payment at Maturity described in this pricing supplement
is based on the full principal amount of your notes, the original issue price of the notes includes the agent’s commission
and the estimated cost of hedging our obligations under the notes through one or more of our affiliates. As a result, the price,
if any, at which JPMS will be willing to purchase notes from you in secondary market transactions, if at all, will likely be lower
than the original issue price and could result in a substantial loss to you.
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·
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REINVESTMENT RISK
—
If we redeem the
notes, the term of the notes may be reduced and you will not receive interest payments after the applicable Redemption 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 in the event the notes are redeemed prior to the Maturity Date.
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·
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LACK OF LIQUIDITY
—
The notes will not
be listed on an organized securities exchange. JPMS and its affiliates may offer to purchase the notes upon terms and conditions
acceptable to them, but are 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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·
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MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE
OF THE NOTES
—
The notes will be affected by a number of economic and market factors that may either offset or
magnify each other, including but not limited to:
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·
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the time to maturity of the notes;
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·
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interest and yield rates in the market generally, as well
as the volatility of those rates;
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·
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the likelihood, or expectation, that the notes will be
redeemed by us, based on prevailing market interest rates or otherwise; and
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·
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our creditworthiness, including actual or anticipated
downgrades in our credit ratings.
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Callable Step-Up Fixed Rate Notes
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PS-
4
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Hypothetical
Examples of Calculation of the Interest Rate on the Notes for an Interest Period
The following
examples illustrate how the hypothetical Interest Rates for an Interest Period are calculated if we choose to call the notes early
or choose not to call the notes early on any Redemption Date in our sole discretion, assuming that the number of calendar days
in the applicable Interest Period is 180. The hypothetical Interest Rates in the following examples are for illustrative purposes
only and may not correspond to the actual Interest Rates for any Interest Period applicable to a purchaser of the notes. The numbers
appearing in the following examples have been rounded for ease of analysis.
Example
1: If we choose to call the notes early on a Redemption Date and the Redemption Date is August 29, 2023,
we will pay you $1,000
for each $1,000 principal amount note plus any accrued and unpaid interest at an Interest Rate equal to 3.00% per annum. Therefore,
the interest payment per $1,000 principal amount note on the Redemption Date will be calculated as follows:
$1,000 ×
3.00% × (180 / 360) = $15.00
We will
pay you a principal payment of $1,000 for each $1,000 principal amount note on such Redemption Date. Therefore, you will receive
$1,015.00 for each $1,000 principal amount note ($1,000 of principal plus $15.00 of interest) on such Redemption Date, but you
will not receive any further interest or principal payments from us.
Example
2: If we choose
not
to call the notes early on a Redemption Date and the Interest Payment Date is August 29, 2023,
we will pay you any accrued and unpaid interest on the applicable Interest Payment Date at an Interest Rate equal to 3.00% per
annum. Therefore, the interest payment per $1,000 principal amount note will be calculated as follows:
$1,000 ×
3.00% × (180 / 360) = $15.00
We will
pay you an interest payment of $15.00 for each $1,000 principal amount note on such Interest Payment Date. Because the notes have
not been called, you will be entitled to receive additional interest payments and a payment of principal at maturity or on the
applicable Redemption Date, if any.
Example
3: If we choose
not
to call the notes prior to the Maturity Date and today is the Maturity Date,
we will pay you $1,000
for each $1,000 principal amount note plus any accrued and unpaid interest on the Maturity Date at an Interest Rate equal to 6.00%
per annum. Therefore, the interest payment per $1,000 principal amount note on the Maturity Date will be calculated as follows:
$1,000 ×
6.00% × (180 / 360) = $30.00
We will
pay you a principal payment of $1,000 for each $1,000 principal amount note on the Maturity Date. Therefore, you will receive
$1,030.00 for each $1,000 principal amount note ($1,000 of principal plus $30.00 of interest) on the Maturity Date, and you will
not receive any further interest or principal payments from us.
The hypothetical
payments on these notes shown above apply only if you hold the notes for their entire term or until earlier redemption. These
hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and
expenses were included, the hypothetical payments shown above would likely be lower.
Validity
of the Notes
In the opinion
of Sidley Austin
llp
, as counsel to the Company, when the notes offered by this
pricing supplement have been executed and issued by the Company 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 the Company, 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 and the General Corporation Law of the State of Delaware
as in effect on the date hereof. In addition, this opinion is subject to customary assumptions about the trustee’s authorization,
execution and delivery of the indenture and the genuineness of signatures and certain factual matters, all as stated in the letter
of such counsel dated April 22, 2016, which was filed as Exhibit 5.1 to the Company’s Current Report on Form 8-K filed with
the Securities and Exchange Commission on April 25, 2016.
Callable Step-Up Fixed Rate Notes
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PS-
5
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