JPMorgan Chase Financial Company LLC Trigger Autocallable Contingent Yield
Notes
$5,807,000 Linked to the A ordinary shares of Royal Dutch Shell plc due September
3, 2021
See “Additional Information about JPMorgan Financial,
JPMorgan Chase & Co. and the Notes” in this pricing supplement. The Notes will have the terms specified in the prospectus
and the prospectus supplement, each dated April 15, 2016, product supplement no. UBS-1-I dated April 15, 2016 and this pricing
supplement.
The terms of the Notes as set forth in this pricing supplement, to the extent they differ or conflict with those
set forth in the accompanying product supplement, will supersede the terms set forth in that product supplement.
Additional Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes
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This pricing supplement relates to two (2) separate Note offerings. Each
issue of the offered Notes is linked to one, and only one, Underlying. The purchaser of a Note will acquire a Note linked to a
single Underlying (not to a basket or index that includes the other Underlying). You may participate in either of the two (2) Note
offerings or, at your election, in both of the offerings. We reserve the right to withdraw, cancel or modify any of the offerings
and to reject orders in whole or in part. While each Note offering relates only to a single Underlying identified on the cover
page, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to that Underlying
(or the other Underlying) or as to the suitability of an investment in 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.
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, the “Issuer,” “JPMorgan
Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.
Supplemental Terms of the Notes
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For purposes of the accompanying product supplement, each of the
A ordinary shares of Royal Dutch Shell plc and the ordinary shares of Sanofi is an “Underlying Stock.”
The Notes may be suitable for you if, among other considerations:
♦
You fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire initial
investment.
♦
You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may
have the same downside market risk as an investment in the applicable Underlying.
♦
You accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
♦
You believe the applicable Underlying will close at or above the applicable Coupon Barrier on the Observation Dates and
the applicable Downside Threshold on the Final Valuation Date.
♦
You believe the applicable Underlying will close at or above the applicable Initial Value on one of the specified Observation
Dates (after an initial one-year non-call period).
♦
You understand and accept that you will not participate in any appreciation in the price of the applicable Underlying and
that your potential return is limited to the applicable Contingent Coupons.
♦
You can tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside
price fluctuations of the applicable Underlying.
♦
You are willing to invest in the Notes based on the applicable Downside Threshold and Coupon Barrier indicated on the cover
hereof.
♦
You do not seek guaranteed current income from this investment and are willing to forgo dividends paid on the applicable
Underlying.
♦
You are able and willing to invest in Notes that may be called early (after an initial one-year non-call period) or you
are otherwise able and willing to hold the Notes to maturity.
♦
You accept that there may be little or no secondary market for the Notes and that any secondary market will depend in large
part on the price, if any, at which J.P. Morgan Securities LLC, which we refer to as JPMS, is willing to trade the Notes.
♦
You understand and accept the single stock risk associated with the Notes and you understand and are willing to accept the
risks associated with the applicable Underlying.
♦
You are willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under the
Notes, and understand that if JPMorgan Financial and JPMorgan Chase & Co. default on their obligations, you may not receive
any amounts due to you including any repayment of principal.
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The Notes may not be suitable for you if, among other considerations:
♦
You do not fully understand the risks inherent in an investment in the Notes, including the risk of loss of your entire
initial investment.
♦
You cannot tolerate a loss of all or a substantial portion of your investment and are unwilling to make an investment that
may have the same downside market risk as an investment in the applicable Underlying.
♦
You require an investment designed to provide a full return of principal at maturity.
♦
You do not accept that you may not receive a Contingent Coupon on some or all of the Coupon Payment Dates.
♦
You believe that the price of the applicable Underlying will decline during the term of the Notes and is likely to close
below the applicable Coupon Barrier on the Observation Dates and the applicable Downside Threshold on the Final Valuation Date.
♦
You seek an investment that participates in the full appreciation in the price of the applicable Underlying or that has
unlimited return potential.
♦
You cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar to or exceed the downside
price fluctuations of the applicable Underlying.
♦
You are not willing to invest in the Notes based on the applicable Downside Threshold and Coupon Barrier indicated on the
cover hereof.
♦
You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable
maturities and credit ratings.
♦
You seek guaranteed current income from this investment or prefer to receive the dividends paid on the applicable Underlying.
♦
You are unable or unwilling to invest in Notes that may be called early (after an initial one-year non-call period), or
you are otherwise unable or unwilling to hold the Notes to maturity, or you seek an investment for which there will be an active
secondary market.
♦
You do not understand or accept the single stock risk associated with the Notes or you do not understand or are not willing
to accept the risks associated with the applicable Underlying.
♦
You are not willing to assume the credit risks of JPMorgan Financial and JPMorgan Chase & Co. for all payments under
the Notes, including any repayment of principal.
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The suitability considerations identified above are not exhaustive. Whether
or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the suitability
of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks”
section of this pricing supplement and the “Risk Factors” section of the accompanying product supplement for risks
related to an investment in the Notes. For more information on the Underlyings, please see the section titled “The Underlyings”
below.
Issuer
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JPMorgan Financial Company LLC
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Guarantor
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JPMorgan Chase & Co.
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Issue Price
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$10 per Note
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Underlying
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A ordinary shares of Royal Dutch Shell plc
Ordinary shares of Sanofi
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Principal Amount
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$10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
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Term
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Approximately 5 years, unless called earlier
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Automatic Call Feature
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The Notes will be called automatically if the closing price
1
of one share of the applicable Underlying on any Observation Date (beginning September 1, 2017) is equal to or greater than the applicable Initial Value. If the Notes are called, JPMorgan Financial will pay you on the applicable Call Settlement Date a cash payment per Note equal to the principal amount
plus
the applicable Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes.
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Contingent Coupon
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If the closing price
1
of one share of the applicable Underlying
is equal to or greater than the applicable Coupon Barrier on any Observation Date, we will pay you the applicable Contingent Coupon
for that Observation Date on the relevant Coupon Payment Date.
If the closing price
1
of one share of the applicable Underlying
is less than the applicable Coupon Barrier on any Observation Date, the applicable Contingent Coupon for that Observation Date
will not accrue or be payable, and we will not make any payment to you on the relevant Coupon Payment Date.
Each Contingent Coupon will be a fixed amount based on equal monthly installments
at the applicable Contingent Coupon Rate, which is a per annum rate. The table below reflects the Contingent Coupon Rate of (i)
9.00% per annum for Notes linked to the A ordinary shares of Royal Dutch Shell plc and (ii) 8.00% per annum for Notes linked to
the ordinary shares of Sanofi.
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Contingent Coupon (per $10 Note)
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Contingent Coupon Payments
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Royal Dutch Shell plc
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Sanofi
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$0.075
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$0.0667
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Contingent Coupon payments on the Notes are not guaranteed. We will not pay you the applicable Contingent Coupon for any Observation Date on which the closing price of one share of the applicable Underlying is less than the applicable Coupon Barrier.
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Contingent Coupon Rate
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The Contingent Coupon Rate is (i) 9.00% per annum for Notes linked to the A ordinary shares of Royal Dutch Shell plc and (ii) 8.00% per annum for Notes linked to the ordinary shares of Sanofi.
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Coupon Payment Dates
2
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2nd business day following the applicable Observation Date, except that the Coupon Payment Date for the Final Valuation Date is the Maturity Date
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Call Settlement Dates
2
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First Coupon Payment Date following the applicable Observation Date
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Payment at Maturity (per $10 Note)
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If the Notes are not automatically called and the applicable Final Value is equal to or greater than the applicable Downside Threshold,
we will pay you a cash payment at maturity per $10 principal amount Note equal to $10
plus
the applicable Contingent Coupon otherwise due on the Maturity Date.
If the Notes are not automatically called and the applicable Final Value is less than the applicable Downside Threshold,
we will pay you a cash payment at maturity that is less than $10 per $10 principal amount Note resulting in a loss on your principal amount proportionate to the negative Underlying Return, equal to:
$10 × (1 + Underlying Return)
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Underlying Return
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(Final Value – Initial Value)
Initial Value
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Initial Value
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The closing price of one share of the applicable Underlying on the Trade Date, as specified on the cover of this pricing supplement. The closing prices and, therefore, the Initial Value, the Final Value, the Downsid Threshold and the Coupon Barrier, for each Underlying are expressed in European Union euros
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Final Value
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The closing price
1
of one share of the applicable Underlying on the Final Valuation Date
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Downside Threshold
3
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A percentage of the Initial Value of the applicable Underlying, as specified on the cover of this pricing supplement
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Coupon Barrier
3
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A percentage of the Initial Value of the applicable Underlying, as specified on the cover of this pricing supplement
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Stock Adjustment Factor
2
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The Stock Adjustment Factor is referenced in determining the closing price of the applicable Underlying. The Stock Adjustment Factor for the applicable Underlying is set initially at 1.0 on the Trade Date.
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1
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The closing price of one share of the applicable Underlying is based on the exchange on which that Underlying is listed. The closing prices and, therefore, the Initial Value, the Final Value, the Downsid Threshold and the Coupon Barrier, for each Underlying are expressed in European Union euros. The closing price and the Stock Adjustment Factor of the applicable Underlying are subject to adjustments, in the sole discretion of the calculation agent, in the case of certain corporate events described in the accompanying product supplement under “The Underlyings — Underlying Stocks — Anti-Dilution Adjustments” and “The Underlyings — Underlying Stocks — Reorganization Events.”
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2
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See footnote 1 under “Key Dates” on the front cover
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3
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Rounded to three decimal places for the A ordinary shares of Royal Dutch Shell plc and rounded to two decimal places for the ordinary shares of Sanofi
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Trade Date
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The closing price of one share of the applicable Underlying (Initial Value) is observed, and the applicable Downside Threshold and the applicable Coupon Barrier are determined.
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Monthly
(callable after an
initial one-year
non-call period)
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If the closing price of one share of the applicable Underlying is equal to
or greater than the applicable Coupon Barrier on any Observation Date, JPMorgan Financial will pay you a Contingent Coupon on the
applicable Coupon Payment Date.
The Notes will also be called if the closing price of one share of the applicable
Underlying on any Observation Date (after an initial one-year non-call period) is equal to or greater than the applicable Initial
Value. If the Notes are called, JPMorgan Financial will pay you a cash payment per Note equal to the principal amount
plus
the applicable Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the
Notes.
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Maturity Date
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The applicable Final Value is determined
as of the Final Valuation Date.
If the Notes have not been called and
the applicable Final Value is equal to or greater than the applicable Downside Threshold, at maturity JPMorgan Financial will repay
the principal amount equal to $10.00 per Note
plus
the applicable Contingent Coupon otherwise due on the Maturity Date.
If the Notes have not been called and
the applicable Final Value is less than the applicable Downside Threshold, JPMorgan Financial will repay less than the principal
amount, if anything, at maturity, resulting in a loss on your principal amount proportionate to the decline of the applicable Underlying,
equal to a return of:
$10 × (1 + Underlying Return) per Note
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INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR 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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Coupon Observation Dates and Coupon Payment Dates
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Coupon Observation Dates
†
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Coupon Payment Dates
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September 29, 2016
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October 3, 2016
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October 31, 2016
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November 2, 2016
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November 29, 2016
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December 1, 2016
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December 29, 2016
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January 3, 2017
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January 30, 2017
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February 1, 2017
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February 28, 2017
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March 2, 2017
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March 29, 2017
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March 31, 2017
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April 28, 2017
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May 3, 2017
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May 30, 2017
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June 1, 2017
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June 29, 2017
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July 3, 2017
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July 31, 2017
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August 2, 2017
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September 1, 2017
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September 6, 2017
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September 29, 2017
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October 3, 2017
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October 30, 2017
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November 1, 2017
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November 29, 2017
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December 1, 2017
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December 29, 2017
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January 3, 2018
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January 29, 2018
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January 31, 2018
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February 28, 2018
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March 2, 2018
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March 29, 2018
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April 4, 2018
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April 30, 2018
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May 2, 2018
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May 29, 2018
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May 31, 2018
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June 29, 2018
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July 3, 2018
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July 30, 2018
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August 1, 2018
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August 29, 2018
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August 31, 2018
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September 28, 2018
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October 2, 2018
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October 29, 2018
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October 31, 2018
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November 29, 2018
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December 3, 2018
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December 31, 2018
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January 3, 2019
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January 29, 2019
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January 31, 2019
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February 28, 2019
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March 4, 2019
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March 29, 2019
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April 2, 2019
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April 29, 2019
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May 1, 2019
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May 29, 2019
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May 31, 2019
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June 28, 2019
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July 2, 2019
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July 29, 2019
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July 31, 2019
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August 29, 2019
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September 3, 2019
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September 30, 2019
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October 2, 2019
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October 29, 2019
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October 31, 2019
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November 29, 2019
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December 3, 2019
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December 30, 2019
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January 2, 2020
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January 29, 2020
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January 31, 2020
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February 28, 2020
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March 3, 2020
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March 30, 2020
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April 1, 2020
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April 29, 2020
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May 1, 2020
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May 29, 2020
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June 2, 2020
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June 29, 2020
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July 1, 2020
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July 29, 2020
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July 31, 2020
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August 28, 2020
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September 2, 2020
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September 29, 2020
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October 1, 2020
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Coupon Observation Dates
†
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Coupon Payment Dates
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October 29, 2020
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November 2, 2020
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November 30, 2020
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December 2, 2020
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December 29, 2020
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December 31, 2020
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January 29, 2021
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February 2, 2021
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February 26, 2021
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March 2, 2021
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March 29, 2021
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March 31, 2021
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April 29, 2021
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May 4, 2021
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May 28, 2021
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June 2, 2021
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June 29, 2021
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July 1, 2021
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July 29, 2021
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August 2, 2021
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August 31, 2021 (the Final Valuation Date)
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September 3, 2021 (the Maturity Date)
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†
The Notes are not callable until the twelfth Coupon Observation
Date, September 1, 2017.
Each of the Coupon Observation Dates, and therefore the Coupon Payment
Dates, is 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.
What Are the Tax Consequences of the Notes?
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You should review carefully the section entitled “Material U.S. Federal
Income Tax Consequences” in the accompanying product supplement no. UBS-1-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 Coupons 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.
Sale, Exchange or Redemption of a Note.
Assuming the treatment described
above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity), you should
recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in
the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated as ordinary
income, consistent with the position referred to above). 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. The deductibility of capital losses is subject to limitations. If you sell your Notes between the
time your right to a Contingent Coupon is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary
income equal to the Contingent Coupon. Although uncertain, it is possible that proceeds received from the sale or exchange of your
Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon payment could be treated as ordinary
income. You should consult your tax adviser regarding this issue.
As described above, 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 Coupons is uncertain, and although we believe it is reasonable to take a position that Contingent Coupons
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 Coupons if they are otherwise treated as FDAP Income). If the Notes are recharacterized,
in whole or in part, as debt instruments, withholding could also apply to payments of gross proceeds of a taxable disposition,
including an early redemption or redemption at maturity. However, under a recent IRS notice, this regime will not apply to payments
of gross proceeds (other than any amount treated as FDAP Income) with respect to dispositions occurring before January 1, 2019.
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.
An investment in the Notes involves significant risks. Investing in the Notes
is not equivalent to investing directly in the applicable Underlying. These risks are explained in more detail in the “Risk
Factors” section of the accompanying product supplement. We also urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the Notes.
Risks Relating to the Notes Generally
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♦
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Your Investment in the Notes May Result in a Loss
— The Notes differ from ordinary debt securities in that JPMorgan
Financial
will not necessarily repay the full principal amount
of the Notes. If the Notes are not called and the closing price of one share of the applicable Underlying has declined below the
applicable Downside Threshold on the Final Valuation Date, you will be fully exposed to any depreciation in the closing price of
one share of the applicable Underlying from the applicable Initial Value to the applicable Final Value. In this case, JPMorgan
Financial will repay less than the full principal amount at maturity, resulting in a loss of principal that is proportionate to
the negative Underlying Return. Under these circumstances, you will lose 1% of your principal for every 1% that the applicable
Final Value is less than the applicable Initial Value and could lose your entire principal amount. As a result, your investment
in the Notes may not perform as well as an investment in a security that does not have the potential for full downside exposure
to the applicable Underlying at maturity.
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♦
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Credit Risks of JPMorgan Financial and JPMorgan Chase & Co.
— The Notes are unsecured and unsubordinated debt
obligations of the Issuer, JPMorgan Chase Financial Company LLC, the payment on which is fully and unconditionally guaranteed by
JPMorgan Chase & Co. The Notes will rank
pari passu
with all of our other unsecured and unsubordinated obligations,
and the related guarantee JPMorgan Chase & Co. will rank
pari passu
with all of JPMorgan Chase & Co.’s other
unsecured and unsubordinated obligations. The Notes and related guarantees are not, either directly or indirectly, an obligation
of any third party. Any payment to be made on the Notes, including any repayment of principal, depends on the ability of JPMorgan
Financial and JPMorgan Chase & Co. to satisfy their obligations as they come due. As a result, the actual and perceived creditworthiness
of JPMorgan Financial and JPMorgan Chase & Co. may affect the market value of the Notes and, in the event JPMorgan Financial
and JPMorgan Chase & Co. were to default on their obligations, you may not receive any amounts owed to you under the terms
of 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 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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You Are Not Guaranteed Any Contingent Coupons
— We will
not necessarily make periodic coupon payments on the Notes. If the closing price of one share of the applicable Underlying on an
Observation Date is less than the applicable Coupon Barrier, we will not pay you the applicable Contingent Coupon for that Observation
Date and the applicable Contingent Coupon that would otherwise be payable will not be accrued and will be lost. If the closing
price of one share of the applicable Underlying is less than the applicable Coupon Barrier on each of the Observation Dates, we
will not pay you any Contingent Coupon during the term of, and you will not receive a positive return on, your Notes. Generally,
this non-payment of the Contingent Coupon coincides with a period of greater risk of principal loss on your Notes.
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♦
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Return on the Notes Limited to the Sum of Any Contingent Coupons and
You Will Not Participate in Any Appreciation of the Applicable Underlying
— The return potential of the Notes is limited
to the specified Contingent Coupon Rate, regardless of the appreciation in the closing price of one share of the applicable Underlying,
which may be significant. In addition, the total return on the Notes will vary based on the number of Observation Dates on which
the requirements for a Contingent Coupon have been met prior to maturity or an automatic call. Further, if the Notes are called,
you will not receive any Contingent Coupons or any other payments in respect of any Observation Dates after the applicable Call
Settlement Date. Because the Notes could be called as early as the twelfth Coupon Observation Date, the total return on the Notes
could be minimal. If the Notes are not called, you may be subject to the applicable Underlying’s risk of decline even though
you are not able to participate in any potential appreciation in the price of the applicable Underlying. Generally, the longer
the Notes remain outstanding, the less likely it is that they will be automatically called, due to the decline in the price of
the applicable Underlying and the shorter time remaining for the price of the applicable Underlying to recover to or above the
applicable Initial Value on a subsequent Observation Date. As a result, the return on an investment in the Notes could be less
than the return on a direct investment in the applicable Underlying. In addition, if the Notes are not called and the applicable
Final Value is below the applicable Downside Threshold, you will have a loss on your principal amount and the overall return on
the Notes may be less than the amount that would be paid on a conventional debt security of JPMorgan Financial of comparable maturity.
|
|
♦
|
Contingent Repayment of Principal Applies Only If You Hold the Notes
to Maturity
— If you are able to sell your Notes in the secondary market, if any, prior to maturity, you may have
to sell them at a loss relative to your initial investment even if the applicable stock price is above the applicable Downside
Threshold. If by maturity the Notes have not been called, either JPMorgan Financial will repay you the full principal amount per
Note
plus
the applicable Contingent Coupon, or if the price of one share of the applicable Underlying closes below the applicable
Downside Threshold on the Final Valuation Date, JPMorgan Financial will repay less than the principal amount, if anything, at maturity,
resulting in a loss on your principal amount that is proportionate to the decline in the closing price of one share of the applicable
Underlying from the applicable Initial Value to the applicable Final Value. This contingent repayment of principal applies only
if you hold your Notes to maturity.
|
|
♦
|
A
Higher Applicable Contingent Coupon Rate and/or a Lower Applicable Coupon Barrier and/or
Applicable Downside Threshold May Reflect Greater Expected Volatility of the Applicable
Underlying, Which Is Generally Associated With a Greater Risk of Loss
Volatility
is a measure of the degree of variation in the price of the applicable Underlying over
a period of time. The greater the expected volatility of the applicable Underlying at
the time the terms of the Notes are set, the greater the expectation is at that time
that the price of the applicable Underlying could close below the applicable Coupon Barrier
on any Observation Date, resulting in the loss of one or more, or all, Contingent Coupon
payments, or below the applicable Downside Threshold on the Final Valuation Date, resulting
in the loss of a significant portion or all of your principal at maturity. In addition,
the economic terms of the Notes, including the applicable Contingent Coupon Rate, the
applicable Coupon Barrier and the applicable Downside Threshold, are based, in part,
on the expected volatility of the applicable Underlying at the time the terms of the
Notes are set, where a higher expected volatility will generally be reflected in a higher
applicable Contingent Coupon Rate than the fixed rate we would pay on conventional debt
securities of the same maturity and/or on otherwise comparable securities and/or a lower
applicable Coupon Barrier and/or a lower applicable Downside Threshold as compared to
otherwise comparable securities. Accordingly, a higher applicable Contingent Coupon Rate
will generally be indicative of a greater risk of loss while a lower applicable Coupon
Barrier or applicable Downside Threshold does not necessarily indicate that the Notes
have a greater likelihood of paying Contingent Coupon payments or returning your principal
at maturity. You should be willing to accept the downside market risk of the applicable
Underlying and the potential loss of some or all of your principal at maturity.
|
|
♦
|
Reinvestment Ris
k
— If your Notes are called early,
the holding period over which you would have the opportunity to receive any Contingent Coupons could be as short as approximately
one year. 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 called prior to the maturity
date.
|
|
♦
|
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 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. We and/or our affiliates may also currently
or from time to time engage in business with the issuer of the applicable Underlying, including extending loans to, or making equity
investments in, the issuer of the applicable Underlying or providing advisory services to the issuer of the applicable Underlying.
As a prospective purchaser of the Notes, you should undertake an independent investigation of the issuer of the applicable Underlying
as in your judgment is appropriate to make an informed decision with respect to an investment in the Notes.
|
|
♦
|
Each Contingent Coupon Is Based Solely on the Closing Price of One Share of the Applicable Underlying on the Applicable
Observation Date
— Whether a Contingent Coupon will be payable with respect to an Observation Date will be based solely
on the closing price of one share of the applicable Underlying on that Observation Date. As a result, you will not know whether
you will receive a Contingent Coupon until the related Observation Date. Moreover, because each Contingent Coupon is based solely
on the closing price of one share of the applicable Underlying on the applicable Observation Date, if that closing price is less
than the applicable Coupon Barrier, you will not receive any Contingent Coupon with respect to that Observation Date, even if the
closing price of one share of the applicable Underlying was higher on other days during the period before that Observation Date.
|
|
♦
|
Single Stock Risk
— The price of the applicable Underlying
can rise or fall sharply due to factors specific to that Underlying and its issuer, such as stock price volatility, earnings, financial
conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general
market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. For additional
information regarding each Underlying and its issuer, please see “The Underlyings” and the section applicable to that
Underlying issuer in this pricing supplement and that issuer’s SEC filings referred to in those sections. We urge you to
review financial and other information filed periodically with the SEC by the applicable Underlying issuer.
|
|
♦
|
The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes
— The estimated
value of the Notes is only an estimate determined by reference to several factors. The original issue price of the Notes exceeds
the estimated value of the Notes because costs associated with selling, structuring and hedging the Notes are included in the original
issue price of the Notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect
to realize for assuming risks inherent in hedging our obligations under the Notes and the estimated cost of hedging our obligations
under the Notes. See “The Estimated Value of the Notes” in this pricing supplement.
|
|
♦
|
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 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. See “The Estimated Value of the Notes” in this pricing
supplement.
|
♦
|
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 pricing supplement.
|
|
♦
|
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 selling commissions,
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 pricing supplement for additional
information relating to this initial period. Accordingly, the estimated value of your Notes during this initial period may be lower
than the value of the Notes as published by JPMS (and which may be shown on your customer account statements).
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|
♦
|
Secondary Market Prices of the Notes Will Likely
Be Lower Than the Original Issue Price of the Notes
— Any secondary market prices
of the Notes will likely be lower than the original issue price of the Notes because, among other things, secondary market prices
take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market
prices (a) exclude selling commissions and (b) may exclude projected hedging profits, if any, and estimated hedging costs that
are included in the original issue price of the Notes. As a result, the price, if any, at which JPMS will be willing to buy Notes
from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior
to the Maturity Date could result in a substantial loss to you. See the immediately following risk factor 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.
|
♦
|
Many Economic and Market Factors Will Impact
the Value of the Notes
— As described under “The Estimated Value of the
Notes” in this pricing supplement, the Notes can be thought of as securities that combine a fixed-income debt component with
one or more derivatives. As a result, the factors that influence the values of fixed-income debt and derivative instruments
will also influence the terms of the Notes at issuance and their value in the secondary market. Accordingly, 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 applicable Underlying, including:
|
|
♦
|
any actual or potential change in our or JPMorgan Chase
& Co.’s creditworthiness or credit spreads;
|
|
♦
|
customary bid-ask spreads for similarly sized trades;
|
|
♦
|
our internal secondary market funding rates for structured
debt issuances;
|
|
♦
|
the actual and expected volatility in the closing price
of one share of the applicable Underlying;
|
|
♦
|
the time to maturity of the Notes;
|
|
♦
|
the likelihood of an automatic call being triggered;
|
|
♦
|
whether the closing price of one share of the applicable Underlying has been, or is expected to be, less than the applicable
Coupon Barrier on any Observation Date and whether the applicable Final Value is expected to be less than the Downside Threshold;
|
|
♦
|
the dividend rate on the applicable Underlying;
|
|
♦
|
the occurrence of certain events affecting the issuer of the applicable Underlying that may or may not require an adjustment
to the closing price and the Stock Adjustment Factor of the applicable Underlying, including a merger or acquisition;
|
|
♦
|
interest and yield rates in the market generally; and
|
|
♦
|
a variety of other economic, financial, political, regulatory
and judicial events.
|
Additionally, independent
pricing vendors and/or third party broker-dealers may publish a price for the Notes, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the Notes, if any, at which JPMS may be willing to
purchase your Notes in the secondary market.
|
♦
|
No Dividend Payments or Voting Rights in the Applicable Underlying
—
As a holder of the Notes, you will not have any ownership interest or rights in the applicable Underlying, such as voting rights
or dividend payments. In addition, the issuer of the applicable Underlying will not have any obligation to consider your interests
as a holder of the Notes in taking any corporate action that might affect the value of the applicable Underlying and the Notes.
|
|
♦
|
No Affiliation with the Applicable Underlying Issuer
—
We are not affiliated with the issuer of the applicable Underlying. We have not independently verified any of the information about
the applicable Underlying issuer contained in this pricing
|
supplement.
You
should make your own investigation into the applicable Underlying and its issuer. We are not responsible for the applicable Underlying
issuer’s public disclosure of information, whether contained in SEC filings or otherwise.
|
♦
|
No Assurances That the Investment View Implicit in the Notes Will Be
Successful
— While the Notes are structured to provide for Contingent Coupons if the applicable Underlying does not
close below the applicable Coupon Barrier on the Observation Dates, we cannot assure you of the economic environment during the
term or at maturity of your 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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|
♦
|
Anti-Dilution Protection Is Limited and May Be Discretionary
— Although the calculation agent will adjust the closing price and the Stock Adjustment Factor of the applicable Underlying
for certain corporate events (such as stock splits and stock dividends) affecting the applicable Underlying, the calculation agent
is not required to make an adjustment for every corporate event that can affect the applicable Underlying. If an event occurs that
does not require the calculation agent to make these adjustments, the market value of your Notes, whether the Notes will be automatically
called and any payment on the Notes may be materially and adversely affected. You should also be aware that the calculation agent
may make any such adjustment, determination or calculation in a manner that differs from what is described in the accompanying
product supplement as it deems necessary to ensure an equitable result. Subject to the foregoing, the calculation agent is under
no obligation to consider your interests as a holder of the Notes in making these determinations.
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|
♦
|
Potentially Inconsistent Research, Opinions or Recommendations by JPMS,
UBS or Their Affiliates
— JPMS, UBS or their affiliates may publish research, express opinions or provide recommendations
(for example, with respect to the issuer of the applicable Underlying) that are inconsistent with investing in or holding the Notes,
and that may be revised at any time. Any such research, opinions or recommendations may or may not recommend that investors buy
or hold the applicable Underlying and could affect the value of the applicable Underlying, and therefore the market value of the
Notes.
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|
♦
|
Tax Treatment
— Significant aspects of the tax treatment
of the Notes are uncertain. You should consult your tax adviser about your tax situation.
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|
♦
|
Potential JPMorgan Financial Impact on the Market Price of the Applicable
Underlying
— Trading or transactions by JPMorgan Financial or its affiliates in the applicable Underlying and/or over-the-counter
options, futures or other instruments with returns linked to the performance of the applicable Underlying may adversely affect
the market price of the applicable Underlying and, therefore, the market value of the Notes.
|
Risks Relating to Securities Linked to the A
Ordinary Shares of Royal Dutch Shell plc or the Ordinary Shares of Sanofi
|
♦
|
Risks Associated with Non-U.S. Companies
— An investment in Notes linked to the A ordinary shares of Royal Dutch
Shell plc (which we refer to as Shell) or the ordinary shares of Sanofi involves risks associated with the home countries of Shell
and Sanofi, which are the United Kingdom and France, respectively. The A ordinary shares of Shell and the ordinary shares
of Sanofi, which are not traded in the United States, are subject to securities trading rules that are different from those applicable
to U.S.-listed securities. The prices of securities issued by non-U.S. companies may be affected by political, economic, financial
and social factors in the home country of the applicable non-U.S. issuer, including changes in that country’s government,
economic and fiscal policies, currency exchange laws or other laws or restrictions. Moreover, the economy of that country may differ
favorably or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation,
capital reinvestment, resources and self-sufficiency. That country may be subjected to different and, in some cases, more adverse
economic environments.
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♦
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No Direct Exposure to Fluctuations in Foreign Exchange Rates
— The value of Notes linked to the A ordinary shares
of Shell or the ordinary shares of Sanofi will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currency
in which the applicable Underlying is denominated, although any currency fluctuations could affect the performance of the applicable
Underlying. Therefore, if the applicable currency appreciates or depreciates relative to the U.S. dollar over the term of the Notes,
you will not receive any additional payment or incur any reduction in payment with respect to the Notes.
|
The examples below illustrate the hypothetical payments on a Coupon Payment
Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Notes
linked to a hypothetical Underlying and assume an Initial Value of €100, a Downside Threshold and Coupon Barrier of €80.00
(which is 80.00% of the hypothetical Initial Value) and a Contingent Coupon Rate of 6.00% per annum*. The hypothetical Initial
Value of €100.00 has been chosen for illustrative purposes only and does not represent the actual Initial Value for any Underlying.
The actual Initial Value and the resulting Downside Threshold and Coupon Barrier for each Underlying are based on the closing price
of one share of that Underlying on the Trade Date and are specified on the cover of this pricing supplement. For historical data
regarding the actual closing prices of one share of each Underlying, please see the historical information set forth under “The
Underlyings” in this pricing supplement.
Principal Amount:
|
$10.00
|
Term:
|
Five years (unless earlier called)
|
Hypothetical Initial Value:
|
€100.00
|
Hypothetical Contingent Coupon Rate:
|
6.00% per annum (or 0.50% per month)
|
Observation Dates:
|
Monthly (callable after one year)
|
Hypothetical Downside Threshold:
|
€80.00 (which is 80.00%* of the hypothetical Initial Value)
|
Hypothetical Coupon Barrier:
|
€80.00 (which is 80.00%* of the hypothetical Initial Value)
|
*
|
The actual value of any Contingent Coupon payments you will receive over the term of the Notes, the actual value of the payment upon automatic call or at maturity and the actual Initial Value, Downside Threshold and Coupon Barrier for each Underlying applicable to your Notes may be more or less than the amounts displayed in these hypothetical scenarios. The actual Contingent Coupon Rate for each Underlying is specified on the cover of this pricing supplement.
|
The examples below are purely hypothetical and are not based on any
specific offering of Notes linked to any specific Underlying. These examples are intended to illustrate how the value of any payment
on the Notes will depend on the closing price on the Observation Dates.
Example 1 — Notes Are Automatically Called on the Twelfth Observation
Date
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
€105.00 (at or above Initial Value; Notes NOT called because
Observation Date is prior to the twelfth Observation Date)
|
$0.05 (Contingent Coupon)
|
Second Observation Date
|
€60.00 (below Coupon Barrier)
|
$0.00
|
Third through Eleventh
Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Twelfth Observation Date
|
€110.00 (at or above Initial Value)
|
$10.05
|
|
|
|
|
|
Total Payment:
|
$10.10 (1.00% return)
|
|
|
|
|
Although the closing price is above the Initial Value on the first Observation
Date, the Notes are not called because the Notes cannot be called before the twelfth Observation Date. Because the Notes are automatically
called on the twelfth Observation Date, we will pay you on the applicable Call Settlement Date a total of $10.05 per Note, reflecting
your principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payment
of $0.05 received in respect of prior Observation Dates, we will have paid you a total of $10.10 per Note for a 1.00% total return
on the Notes. No further amounts will be owed on the Notes.
Example 2 — Notes Are Automatically Called on the Fifty-Ninth Observation
Date
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
€90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.05 (Contingent Coupon)
|
Second Observation Date
|
€85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.05 (Contingent Coupon)
|
Third through Eleventh
Observation Dates
|
Various (all at or above Coupon Barrier, all below Initial Value)
|
$0.45 (Contingent Coupons)
|
Twelfth through Fifty-Eighth
Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Fifty-Ninth Observation Date
|
€105.00 (at or above Initial Value)
|
$10.05 (Payment upon Automatic Call)
|
|
|
|
|
|
Total Payment:
|
$10.60 (6.00% return)
|
|
|
|
|
Because the Notes are automatically called on the fifty-ninth Observation
Date, we will pay you on the applicable Call Settlement Date a total of $10.05 per Note, reflecting your principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $0.55 received in respect of prior
Observation Dates, we will have paid you a total of $10.60 per Note for a 6.00% total return on the Notes. No further amounts will
be owed on the Notes.
Example 3 — Notes Are NOT Automatically Called
and
the Final
Value Is at or above the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
€90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.05 (Contingent Coupon)
|
Second Observation Date
|
€85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.05 (Contingent Coupon)
|
Third through Fifty-Ninth
Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Final Valuation Date
|
€85.00 (at or above Downside Threshold; below Initial Value)
|
$10.05 (Payment at Maturity)
|
|
|
|
|
|
Total Payment:
|
$10.15 (1.50% return)
|
|
|
|
|
At maturity, we will pay you a total of $10.05 per Note, reflecting your
principal amount
plus
the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $0.10
received in respect of prior Observation Dates, we will have paid you a total of $10.15 per Note for a 1.50% total return on the
Notes.
Example 4 — Notes Are NOT Automatically Called
and
the Final
Value Is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
€90.00 (at or above Coupon Barrier; below Initial Value)
|
$0.05 (Contingent Coupon)
|
Second Observation Date
|
€85.00 (at or above Coupon Barrier; below Initial Value)
|
$0.05 (Contingent Coupon)
|
Third through Eleventh
Observation Dates
|
Various (all at or above Initial Value)
|
$0.45 (Contingent Coupons)
|
Twelfth through Fifty-Ninth
Observation Dates
|
Various (all at or above Coupon Barrier; all below Initial Value)
|
$2.40 (Contingent Coupons)
|
Final Valuation Date
|
€60.00 (below Downside Threshold)
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -40%) =
$10.00 × 60% =
$6.00 (Payment at Maturity)
|
|
|
|
|
|
Total Payment:
|
$8.95 (-10.50% return)
|
|
|
|
|
Although the closing price is at or above the Initial Value on the third
through eleventh Observation Dates, the Notes are not called because the Notes cannot be called before the twelfth Observation
Date. Because the Notes are not called and the Final Value of $60.00 is below the Downside Threshold, at maturity we will pay you
$6.00 per Note. When that amount is added to the Contingent Coupon payments of $2.95 received in respect of prior Observation Dates,
we will have paid you $8.95 per Note for a loss on the Notes of 10.50%.
Example 5 — Notes Are NOT Automatically Called
and
the Final
Value is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Note)
|
First Observation Date
|
€65.00 (below Coupon Barrier)
|
$0.00
|
Second through Eleventh
Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Twelfth through Fifty-Ninth
Observation Dates
|
Various (all below Coupon Barrier)
|
$0.00
|
Final Valuation Date
|
€50.00 (below Downside Threshold)
|
$10.00 × (1 + Underlying Return) =
$10.00 × (1 + -50%) =
$10.00 × 50% =
$5.00 (Payment at Maturity)
|
|
|
|
|
|
Total Payment:
|
$5.00 (-50.00% return)
|
|
|
|
|
Because the Notes are not called, the Final Value is below the Downside
Threshold and the Underlying Return is -50%, at maturity we will pay you $5.00 per Note for a loss on the Notes of 50.00%. Because
there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on the Notes.
The hypothetical returns and hypothetical payments on the Notes shown above
apply
only if you hold the Notes for their entire term or until called
.
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.
Included on the following pages is a brief description of the issuers of
the Underlyings. This information has been obtained from publicly available sources, without independent verification. Set forth
below is a table that provides the quarterly high and low closing prices of one share of each Underlying. The information given
below is for the four calendar quarters in each of 2011, 2012, 2013, 2014 and 2015 and the first and second calendar quarters of
2016. Partial data is provided for the third calendar quarter of 2016. We obtained the closing price information set forth below
from the Bloomberg Professional
®
service (“Bloomberg”), without independent verification. You should
not take the historical prices of any Underlying as an indication of future performance.
Each of the Underlyings is registered under the Securities Exchange Act
of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required
to file financial and other information specified by the SEC periodically. Information filed by the issuer of each Underlying with
the SEC can be reviewed electronically through a web site maintained by the SEC. The address of the SEC’s web site is http://www.sec.gov.
Information filed with the SEC by the issuer of each Underlying under the Exchange Act can be located by reference to its SEC file
number provided below. In addition, information filed with the SEC can be inspected and copied at the Public Reference Section
of the SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549. Copies of this material can also be obtained from the Public
Reference Section, at prescribed rates. We do not make any representation that these publicly available documents are accurate
or complete.
According to its publicly available filings with the SEC, Royal Dutch Shell
plc, which we refer to as Shell, an England and Wales company, is an independent oil and gas company that explores for crude oil
and natural gas worldwide, both in conventional fields and from sources such as tight rock, shale and coal formations. Shell’s
portfolio of refineries and chemical plants turns the oil and gas that Shell produces into a range of refined and petrochemical
products, which are moved and marketed around the world for domestic, industrial and transport use. The products Shell sells include
gasoline, diesel, heating oil, aviation fuel, marine fuel, liquefied natural gas for transport, lubricants, bitumen and sulphur.
Shell also produces and sells ethanols from sugar cane in Brazil, through a joint venture. The A ordinary shares of Shell, par
value €0.07 per share (Bloomberg ticker: RDS/A NA), is listed on Euronext Amsterdam, which we refer to as the relevant exchange
for purposes of Shell in the accompanying product supplement. Shell’s SEC file number is 001-32575.
Historical Information Regarding the A Ordinary Shares of Shell
The following table sets forth the quarterly high and low closing prices of one
A ordinary share of Shell, based on daily closing prices on the primary exchange for the A ordinary shares of Shell, as reported
by Bloomberg. The closing price of one A ordinary share of Shell on August 29, 2016 was €22.245. We obtained the closing
prices above and below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg
for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of one A ordinary share of Shell has experienced
significant fluctuations. The historical performance of the A ordinary shares of Shell should not be taken as an indication of
future performance, and no assurance can be given as to the closing prices of one A ordinary share of Shell during the term of
the Notes. We cannot give you assurance that the performance of the A ordinary shares of Shell will result in the return of any
of your principal amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2011
|
3/31/2011
|
€26.595
|
€24.000
|
€25.645
|
4/1/2011
|
6/30/2011
|
€26.120
|
€23.780
|
€24.480
|
7/1/2011
|
9/30/2011
|
€25.985
|
€21.595
|
€23.175
|
10/1/2011
|
12/31/2011
|
€28.300
|
€22.365
|
€28.150
|
1/1/2012
|
3/31/2012
|
€29.105
|
€26.210
|
€26.250
|
4/1/2012
|
6/30/2012
|
€26.910
|
€24.515
|
€26.605
|
7/1/2012
|
9/30/2012
|
€28.910
|
€26.850
|
€26.900
|
10/1/2012
|
12/31/2012
|
€27.225
|
€25.365
|
€25.975
|
1/1/2013
|
3/31/2013
|
€26.985
|
€24.495
|
€25.190
|
4/1/2013
|
6/30/2013
|
€26.800
|
€24.100
|
€24.545
|
7/1/2013
|
9/30/2013
|
€25.985
|
€23.795
|
€24.380
|
10/1/2013
|
12/31/2013
|
€25.905
|
€23.470
|
€25.905
|
1/1/2014
|
3/31/2014
|
€26.890
|
€25.155
|
€26.520
|
4/1/2014
|
6/30/2014
|
€30.455
|
€26.425
|
€30.240
|
7/1/2014
|
9/30/2014
|
€31.020
|
€29.565
|
€30.325
|
10/1/2014
|
12/31/2014
|
€29.985
|
€24.560
|
€27.660
|
1/1/2015
|
3/31/2015
|
€29.520
|
€25.995
|
€27.835
|
4/1/2015
|
6/30/2015
|
€29.440
|
€25.370
|
€25.370
|
7/1/2015
|
9/30/2015
|
€26.810
|
€20.580
|
€21.185
|
10/1/2015
|
12/31/2015
|
€24.980
|
€19.635
|
€21.095
|
1/1/2016
|
3/31/2016
|
€22.180
|
€16.670
|
€21.340
|
4/1/2016
|
6/30/2016
|
€24.670
|
€20.530
|
€24.670
|
7/1/2016
|
8/29/2016*
|
€25.25
|
€22.025
|
€22.245
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2016 includes data for the period from July 1, 2016 through August 29, 2016. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2016.
|
The graph below illustrates the daily performance of the A ordinary shares
of Shell from January 2, 2006 through August 29, 2016, based on information from Bloomberg, without independent verification. The
dotted line represents the Downside Threshold and Coupon Barrier of €15.238, equal to 68.50% of the closing price on August
29, 2016.
Past performance of the Underlying is not indicative of the future performance
of the Underlying.
According to its publicly available filings with the SEC, Sanofi is a healthcare
company engaged in research, development, manufacture and marketing of therapeutic solutions. The ordinary shares of Sanofi, par
value €2.00 per share (Bloomberg ticker: SAN FP), is listed on Euronext Paris, which we refer to as the relevant exchange
for purposes of Sanofi in the accompanying product supplement. Sanofi’s SEC file number is 001-31368.
Historical Information Regarding the Ordinary Shares of Sanofi
The following table sets forth the quarterly high and low closing prices
of one ordinary share of Sanofi based on daily closing prices on the primary exchange for ordinary shares of Sanofi, as reported
by Bloomberg. The closing price of one ordinary share of Sanofi on August 29, 2016 was €69.43. We obtained the closing prices
above and below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for corporate
actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since its inception, the price of one ordinary share of Sanofi has experienced
significant fluctuations. The historical performance of the ordinary shares of Sanofi should not be taken as an indication of future
performance, and no assurance can be given as to the closing prices of one ordinary share of Sanofi during the term of the Notes.
We cannot give you assurance that the performance of the ordinary shares of Sanofi will result in the return of any of your principal
amount.
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Close
|
1/1/2011
|
3/31/2011
|
€51.80
|
€46.12
|
€49.48
|
4/1/2011
|
6/30/2011
|
€56.26
|
€50.16
|
€55.44
|
7/1/2011
|
9/30/2011
|
€55.90
|
€44.19
|
€49.35
|
10/1/2011
|
12/31/2011
|
€56.75
|
€47.38
|
€56.75
|
1/1/2012
|
3/31/2012
|
€59.33
|
€55.44
|
€58.23
|
4/1/2012
|
6/30/2012
|
€59.74
|
€53.51
|
€59.74
|
7/1/2012
|
9/30/2012
|
€69.23
|
€59.75
|
€66.35
|
10/1/2012
|
12/31/2012
|
€72.29
|
€66.07
|
€71.39
|
1/1/2013
|
3/31/2013
|
€79.27
|
€66.60
|
€79.27
|
4/1/2013
|
6/30/2013
|
€86.67
|
€75.62
|
€79.62
|
7/1/2013
|
9/30/2013
|
€80.87
|
€72.09
|
€74.97
|
10/1/2013
|
12/31/2013
|
€80.20
|
€71.85
|
€77.12
|
1/1/2014
|
3/31/2014
|
€76.36
|
€69.40
|
€75.68
|
4/1/2014
|
6/30/2014
|
€80.12
|
€74.02
|
€77.58
|
7/1/2014
|
9/30/2014
|
€89.56
|
€75.47
|
€89.56
|
10/1/2014
|
12/31/2014
|
€88.85
|
€71.10
|
€75.66
|
1/1/2015
|
3/31/2015
|
€94.04
|
€73.27
|
€91.93
|
4/1/2015
|
6/30/2015
|
€98.98
|
€86.04
|
€88.24
|
7/1/2015
|
9/30/2015
|
€100.65
|
€83.09
|
€84.89
|
10/1/2015
|
12/31/2015
|
€93.30
|
€74.73
|
€78.60
|
1/1/2016
|
3/31/2016
|
€78.49
|
€67.27
|
€70.86
|
4/1/2016
|
6/30/2016
|
€78.67
|
€67.30
|
€74.92
|
7/1/2016
|
8/29/2016*
|
€76.70
|
€68.57
|
€69.43
|
*
|
As of the date of this pricing supplement, available information for the third calendar quarter of 2016 includes data for the period from July 1, 2016 through August 29, 2016. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2016.
|
The graph below illustrates the daily performance of the ordinary shares
of Sanofi from January 2, 2006 through August 29, 2016, based on information from Bloomberg, without independent verification.
The dotted line represents the Downside Threshold and Coupon Barrier of €48.25, equal to 69.50% of the closing price on August
29, 2016.
Past performance of the Underlying is not indicative of the future performance
of the Underlying.