PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-209682 and 333-209682-01
Dated August 29, 2016

JPMorgan Chase Financial Company LLC Trigger Autocallable Contingent Yield Notes

$15,581,370 Linked to the common stock of Apple Inc. due September 4, 2019

$1,954,750 Linked to the common stock of Anthem, Inc. due September 4, 2019
$2,964,000 Linked to the American depositary shares of Teva Pharmaceutical Industries Limited due September 4, 2019

Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.

Investment Description
Trigger Autocallable Contingent Yield Notes are unsecured and unsubordinated debt securities issued by JPMorgan Chase Financial Company LLC (“JPMorgan Financial”), the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co., (each, a “Note” and collectively, the “Notes”), linked to the performance of the common stock or American depositary shares of a specific company (the “Underlying”).  If the closing price of one share of the applicable Underlying on the applicable quarterly Observation Date is equal to or greater than the applicable Coupon Barrier, JPMorgan Financial will make a Contingent Coupon payment with respect to that Observation Date.  Otherwise, no coupon will be payable with respect to that Observation Date.  JPMorgan Financial will automatically call the Notes early if the closing price of one share of the applicable Underlying on any quarterly Observation Date (after an initial six-month non-call period) is equal to or greater than the applicable Initial Value.  If the Notes are called, JPMorgan Financial will pay the principal amount plus the applicable Contingent Coupon for that Observation Date and no further amounts will be owed to you.  If the Notes are not called prior to maturity and the applicable Final Value is equal to or greater than the applicable Downside Threshold (which is the same price as the applicable Coupon Barrier), JPMorgan Financial will make a cash payment at maturity equal to the principal amount of your Notes, in addition to the applicable Contingent Coupon.  If the applicable Final Value is less than the applicable Downside Threshold, JPMorgan Financial will pay you less than the full principal amount, if anything, at maturity, resulting in a loss on your principal amount that is proportionate to the decline in the price of one share of the applicable Underlying from the applicable Initial Value to the applicable Final Value.  The closing price of the applicable Underlying is 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.”   Investing in the Notes involves significant risks.  You may lose some or all of your principal amount.  Generally, a higher Contingent Coupon Rate is associated with a greater risk of loss.  The contingent repayment of principal applies only if you hold the Notes to maturity.  Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial, as issuer of the Notes, and the creditworthiness of JPMorgan Chase & Co., as guarantor of the Notes.  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.

 

Features  

Automatically Callable: JPMorgan Financial will automatically call the Notes and pay you the principal amount plus the applicable Contingent Coupon otherwise due for a quarterly Observation Date (after an initial six-month non-call period) if the closing price of one share of the applicable Underlying on that quarterly Observation Date is equal to or greater than the applicable Initial Value. No further payments will be made on the Notes. If the Notes are not called, investors will have the potential for downside equity market risk at maturity.

Contingent Coupon: If the closing price of one share of the applicable Underlying on a quarterly Observation Date (including the Final Valuation Date) is equal to or greater than the applicable Coupon Barrier, JPMorgan Financial will make a Contingent Coupon payment with respect to that Observation Date. Otherwise, no coupon will be payable with respect to that Observation Date.

Downside Exposure with Contingent Repayment of Principal Amount at Maturity: If by maturity the Notes have not been called and the price of one share of the applicable Underlying closes at or above the applicable Downside Threshold on the Final Valuation Date, JPMorgan Financial will pay you the principal amount per Note at maturity. 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 price of one share of the applicable Underlying from the applicable Initial Value to the applicable Final Value. The contingent repayment of principal applies only if you hold the Notes until maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of JPMorgan Financial and JPMorgan Chase & Co.

 
 
 
 
 
 
 
 
 
 

 

 

Key Dates  
Trade Date August 29, 2016  
Original Issue Date (Settlement Date) August 31, 2016  
Observation Dates 1    Quarterly (callable beginning February 28, 2017) (see page 6)  
Final Valuation Date 1    August 29, 2019  
Maturity Date 1    September 4, 2019  
1   Subject   to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Payment Date” and “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)” in the accompanying product supplement


THE NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. JPMORGAN FINANCIAL IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL PRINCIPAL AMOUNT OF THE NOTES AT MATURITY, AND THE NOTES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE APPLICABLE UNDERLYING. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF JPMORGAN FINANCIAL FULLY AND UNCONDITIONALLY GUARANTEED BY JPMORGAN CHASE & CO.  YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES.

YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE 8 OF THIS PRICING SUPPLEMENT AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-10 OF THE ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE NOTES. THE NOTES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.

Note Offering
This pricing supplement relates to three (3) separate Note offerings.  Each issuance of offered Notes is linked to one, and only one, Underlying.  You may participate in any of the three (3) Note offerings or, at your election, in two or more of the offerings.  This pricing supplement does not, however, allow you to purchase a Note linked to a basket of some or all of the Underlyings described below.  The Notes are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples thereof.  Each of the three (3) Note offerings is linked to the common stock or American depositary shares of a different company, and each of the three (3) Note offerings has its own Contingent Coupon Rate, Initial Value, Downside Threshold and Coupon Barrier.   The performance of each Note offering will not depend on the performance of any other Note offering.

 

Underlying Contingent
Coupon Rate
Initial
Value
Downside Threshold Coupon Barrier CUSIP ISIN
Common stock of Apple Inc.
(Bloomberg ticker: AAPL)
8.00% per annum $106.82 77.98, which is equal to 73% of the
Initial Value
77.98, which is equal to 73% of the
Initial Value
46646X589 US46646X5894
Common stock of Anthem, Inc.
(Bloomberg ticker: ANTM)
8.00% per annum $124.18 85.06, which is equal to 68.50% of the
Initial Value
85.06, which is equal to 68.50% of the
Initial Value
46646X571 US46646X5712
American depositary shares of Teva Pharmaceutical Industries Limited
(Bloomberg ticker: TEVA)
7.00% per annum $50.75 33.47, which is equal to 65.96% of the
Initial Value
33.47, which is equal to 65.96% of the
Initial Value
46646X563 US46646X5639

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.

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying prospectus, the accompanying prospectus supplement and the accompanying product supplement. Any representation to the contrary is a criminal offense.

  Price to Public (1) Fees and Commissions (2) Proceeds to Issuer
Offering of Notes Total Per Note Total Per Note Total Per Note
Notes linked to the common stock of Apple Inc. $15,581,370 $10 $311,627.40 $0.20 $15,269,742.60 $9.80
Notes linked to the common stock of Anthem, Inc. $1,954,750 $10 $39,095 $0.20 $1,915,655 $9.80
Notes linked to the American depositary shares of Teva Pharmaceutical Industries Limited $2,964,000 $10 $59,280 $0.20 $2,904,720 $9.80
(1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the Notes.
(2) UBS Financial Services Inc., which we refer to as UBS, will receive selling commissions from us that will not exceed $0.20 per $10 principal amount Note.  See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement, as supplemented by “Supplemental Plan of Distribution” in this pricing supplement.
               

The estimated value of the Notes, when the terms of the notes were set, was $9.708, $9.607 and $9.628 per $10 principal amount Note linked to the common stock of Apple Inc., linked to the common stock of Anthem, Inc. and linked to the American depositary shares of Teva Pharmaceutical Industries Limited, respectively. See “The Estimated Value of the Notes” in this pricing supplement for additional information.

The Notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.

 

 

Additional Information about JPMorgan Financial, JPMorgan Chase & Co. and the Notes

This pricing supplement relates to three (3) 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 Underlyings). You may participate in any of the three (3) Note offerings or, at your election, in two or more 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 any 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):

Product supplement no. UBS-1-I dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012642/crt-dp64836_424b2.pdf
Prospectus supplement and prospectus, each dated April 15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf

Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, the “Issuer,” “JPMorgan Financial,” “we,” “us” and “our” refer to JPMorgan Chase Financial Company LLC.

Supplemental Terms of the Notes

For purposes of the accompanying product supplement, each of the common stock of Apple Inc., the common stock of Anthem, Inc. and the American depositary shares of Teva Pharmaceutical Industries Limited is an “Underlying Stock.”

 

  2

 

Investor Suitability

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 six-month 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 six-month 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.

 

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 six-month 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.

 

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.

  3

 

Final Terms
Issuer   JPMorgan Chase Financial Company LLC
Guarantor   JPMorgan Chase & Co.
Issue Price   $10 per Note
Underlying  

Common stock of Apple Inc.

Common stock of Anthem, Inc.

American depositary shares of Teva Pharmaceutical Industries Limited

Principal Amount   $10 per Note (subject to a minimum purchase of 100 Notes or $1,000)
Term   Approximately 3 years, unless called earlier
Automatic Call Feature   The Notes will be called automatically if the closing price 1 of one share of the applicable Underlying on any Observation Date (beginning February 28, 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.
Contingent Coupon  

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 quarterly installments at the applicable Contingent Coupon Rate, which is a per annum rate. The table below reflects the Contingent Coupon Rate of (i) 8.00% per annum for Notes linked to the common stock of Apple Inc., (ii) 8.00% per annum for Notes linked to the common stock of Anthem, Inc. and (iii) 7.00% per annum for Notes linked to the American depositary shares of Teva Pharmaceutical Industries Limited

    Contingent Coupon (per $10 Note)
Contingent Coupon Payments   Apple Inc. Anthem, Inc. Teva Pharmaceutical Industries Limited
  $0.20 $0.20 $0.175
    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.
Contingent Coupon Rate   The Contingent Coupon Rate is (i) 8.00% per annum for Notes linked to the common stock of Apple Inc., (ii) 8.00% per annum for Notes linked to the common stock of Anthem, Inc. and (iii) 7.00% per annum for Notes linked to the American depositary shares of Teva Pharmaceutical Industries Limited
Coupon Payment Dates 2      2nd business day following the applicable Observation Date, except that the Coupon Payment Date for the Final Valuation Date is the Maturity Date
Call Settlement Dates 2      First Coupon Payment Date following the applicable Observation Date
Payment at Maturity (per $10 Note)  

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)

Underlying Return  

(Final Value – Initial Value)

Initial Value

Initial Value   The closing price of one share of the applicable Underlying on the Trade Date, as specified on the cover of this pricing supplement
Final Value   The closing price 1 of one share of the applicable Underlying on the Final Valuation Date
Downside Threshold   A percentage of the Initial Value of the applicable Underlying, as specified on the cover of this pricing supplement
Coupon Barrier   A percentage of the Initial Value of the applicable Underlying, as specified on the cover of this pricing supplement
Stock Adjustment Factor 1      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.

 

1    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.”
2    See footnote 1 under “Key Dates” on the front cover

 

Indicative Terms
Trade Date   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.  
       
       
       
Quarterly
(callable after an
initial six-month
non-call period)
 

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 six-month 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.

 
     
     
     
Maturity Date  

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

 
       
       
       
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.