September 23, 2016
|
Registration Statement Nos. 333-209682 and 333-209682-01; Rule 424(b
)(
2)
|
JPMorgan Chase Financial
Company LLC
Structured Investments
$3,745,000
Callable Contingent
Interest Notes Linked to the Least Performing of the S&P 500
®
Index, the Russell 2000
®
Index
and the iShares
®
MSCI EAFE ETF due March 30, 2020
Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.
|
·
|
The notes are designed for investors who seek a Contingent Interest Payment with respect to each
Quarterly Monitoring Period during which, on each day, the closing value of each of the S&P 500
®
Index, the
Russell 2000
®
Index and the
iShares
®
MSCI EAFE ETF, which we refer to as the Underlyings, is greater than or equal to 70.00% of its Initial Value, which we refer to
as an Interest Barrier.
|
|
·
|
The notes may be redeemed early, in whole but not in part, at our option on any of the Interest Payment Dates (other than the
first and final Interest Payment Dates).
|
|
·
|
Investors in the notes should be willing to accept the risk of losing some or all of their principal and the risk that no Contingent
Interest Payment may be made with respect to some or all Quarterly Monitoring Periods.
|
|
·
|
Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive
Contingent Interest Payments.
|
|
·
|
The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan
Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.
Any payment on the notes
is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as
guarantor of the notes.
|
|
·
|
Payments on the notes are not linked to a basket composed of the Underlyings. Payments on the notes are linked to the performance
of each of the Underlyings individually, as described below.
|
|
·
|
Minimum denominations of $1,000 and integral multiples thereof
|
|
·
|
The notes priced on September 23, 2016 and are expected to settle on or about September 28, 2016.
|
Investing in the notes involves a number of risks. See
“Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk Factors” beginning
on page US-2 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-5 of
this pricing supplement.
Neither the Securities and Exchange Commission (the “SEC”)
nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this
pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Issuer
|
Per note
|
$1,000
|
$20
|
$980
|
Total
|
$3,745,000
|
$74,900
|
$3,670,100
|
(1) See “Supplemental Use of Proceeds”
in this pricing supplement for information about the components of the price to public of the notes.
(2) J.P. Morgan Securities LLC, which we refer to
as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $20.00 per $1,000 principal amount
note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)”
in the accompanying product supplement.
|
The estimated value of the notes, when the terms of the notes were
set, was $960.60 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement
for additional information.
The notes are not bank deposits, are not insured by the Federal
Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.
Pricing supplement to product supplement no. 4-I
dated April 15, 2016, underlying supplement no. 1-I dated April 15, 2016
and the prospectus and prospectus supplement, each dated April 15, 2016
Key
Terms
Issuer:
JPMorgan Chase Financial Company LLC
Guarantor:
JPMorgan Chase & Co.
Underlyings:
The
S&P 500
®
Index (Bloomberg ticker: SPX) and the Russell 2000
®
Index (Bloomberg ticker: RTY) (each,
an “Index” and collectively, the “Indices”) and the iShares
®
MSCI EAFE ETF (Bloomberg ticker:
EFA) (the “Fund”) (each of the Indices and the Fund, an “Underlying” and collectively, the “Underlyings”)
|
Contingent Interest Payments:
If the notes have not been previously redeemed early and the closing
value of each Underlying on each day during a Quarterly Monitoring Period is greater than or equal to its Interest Barrier, you
will receive on the applicable Interest Payment Date, for each $1,000 principal amount note, a Contingent Interest Payment equal
to $24.375 (equivalent to a Contingent Interest Rate of 9.75% per annum, payable at a rate of 2.4375% per quarter).
If the closing value of any Underlying on any day during
a Quarterly Monitoring Period is less than its Interest Barrier, no Contingent Interest Payment will be made with respect to that
Quarterly Monitoring Period.
|
Contingent Interest Rate:
9.75% per annum, payable at a rate of 2.4375% per quarter
|
Interest Barrier:
With respect to each Underlying, 70.00% of its Initial Value, which is 1,515.283 for the S&P 500
®
Index, 878.2361 for the Russell 2000
®
Index and $41.482 for the iShares
®
MSCI EAFE ETF
|
Trigger Value:
With respect to each Underlying, 55.00% of its Initial Value, which is 1,190.5795 for the S&P 500
®
Index, 690.04265 for the Russell 2000
®
Index and $32.593 for the iShares
®
MSCI EAFE ETF
|
Pricing Date:
September 23, 2016
|
Original Issue Date
(Settlement Date):
On or about September 28, 2016
Quarterly Monitoring
Periods:
The period from but excluding the Pricing Date to and including the
first Review Date, and each successive period from but excluding a Review Date to and including the next succeeding Review Date.
Review Dates*:
December 23, 2016, March 23, 2017, June 23, 2017, September 25, 2017, December 26, 2017, March 23, 2018,
June 25, 2018, September 24, 2018, December 24, 2018, March 25, 2019, June 24, 2019, September 23, 2019, December 23, 2019 and
March 23, 2020
(Final Review Date)
Interest Payment
Dates*:
January 3, 2017, March 30, 2017, June 30, 2017, October 2, 2017, January 3, 2018,
April 2, 2018, July 2, 2018, October 1, 2018, January 2, 2019, April 1, 2019, July 1, 2019, September 30, 2019, December 31, 2019
and the Maturity Date
Maturity Date*:
March 30, 2020
* 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
Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying
product supplement
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Early
Redemption:
We, at our
election, may redeem the notes early, in whole but not in part, on any of the Interest Payment Dates (other than the first and
final Interest Payment Dates) at a price, for each $1,000 principal amount note, equal to $1,000
plus
any accrued and unpaid
Contingent Interest Payment. If we intend to redeem your notes early, we will deliver notice to The Depository Trust Company,
or DTC, at least five business days before the applicable Interest Payment Date on which the notes are redeemed early.
Payment
at Maturity:
If the notes
have not been redeemed early and the Final Value of each Underlying is greater than or equal to its Trigger Value, you will receive
a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus
(b) the Contingent Interest
Payment, if any, applicable to the final Quarterly Monitoring Period.
If the notes
have not been redeemed early and the Final Value of any Underlying is less than its Trigger Value, your payment at maturity per
$1,000 principal amount note will be calculated as follows:
$1,000 +
($1,000 × Least Performing Underlying Return)
If the
notes have not been redeemed early and the Final Value of any Underlying is less than its Trigger Value, you will lose more than
45.00% of your principal amount at maturity and could lose all of your principal amount at maturity.
Least
Performing Underlying:
The Underlying with the Least Performing Underlying Return
Least
Performing Underlying Return:
The lowest
of the Underlying Returns of the Underlyings
Underlying
Return:
With respect to each Underlying,
(Final Value – Initial Value)
Initial Value
Initial
Value:
With respect to each Underlying,
the closing value of that Underlying on the Pricing Date, which was 2,164.69 for the S&P 500
®
Index, 1,254.623
for the Russell 2000
®
Index and $59.26 for the iShares
®
MSCI EAFE ETF
Final
Value:
With respect to each Underlying,
the closing value of that Underlying on the Final Review Date
Share
Adjustment Factor:
The Share Adjustment Factor is referenced in determining the closing
value of the Fund and is set equal to 1.0 on the Pricing Date. The Share Adjustment Factor is subject to adjustment upon the occurrence
of certain events affecting the Fund. See “The Underlyings — Funds — Anti-Dilution Adjustments” in the
accompanying product supplement for further information.
|
PS-
1
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
Supplemental
Terms of the Notes
All
references in this pricing supplement to the closing value of each Index mean the closing level of that Index as defined in the
accompanying product supplement, and all references in this pricing supplement to the closing value of the Fund mean the closing
price of one share of the Fund as defined in the accompanying product supplement.
How
the Notes Work
Payment
in Connection with the First Quarterly Monitoring Period
Payments in Connection with Quarterly Monitoring
Periods (Other Than the First and Final Quarterly Monitoring Periods)
PS-
2
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
Payment
at Maturity If the Notes Have Not Been Redeemed Early
Total Contingent Interest Payments
The
table below illustrates the total Contingent Interest Payments per $1,000 principal amount note over the term of the notes based
on the Contingent Interest Rate of 9.75% per annum, depending on how many Contingent Interest Payments are made prior to early
redemption or maturity.
Number
of Contingent Interest Payments
|
Total
Contingent Interest Payments
|
14
|
$341.250
|
13
|
$316.875
|
12
|
$292.500
|
11
|
$268.125
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10
|
$243.750
|
9
|
$219.375
|
8
|
$195.000
|
7
|
$170.625
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6
|
$146.250
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5
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$121.875
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4
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$97.500
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3
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$73.125
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2
|
$48.750
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1
|
$24.375
|
0
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$0.000
|
Hypothetical
Payout Examples
The following examples illustrate payments on
the notes linked to three hypothetical Underlyings, assuming a range of performances for the hypothetical Least Performing Underlying
on the Review Dates and during the Quarterly Monitoring Periods. The hypothetical payments set forth below assume the following:
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·
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the notes have not been redeemed early;
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|
·
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an Initial Value for the Least Performing Underlying of 100.00;
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|
·
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an Interest Barrier for the Least Performing Underlying of 70.00 (equal to 70.00% of its hypothetical Initial Value);
|
PS-
3
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
|
·
|
a Trigger Value for the Least Performing Underlying of 55.00 (equal to 55.00% of its hypothetical Initial Value); and
|
|
·
|
a Contingent Interest Rate of 9.75% per annum (payable at a rate of 2.4375% per quarter).
|
The
hypothetical Initial Value of the Least Performing Underlying of 100.00 has been chosen for illustrative purposes only and does
not represent the actual Initial Value of any Underlying. The actual Initial Value of each Underlying is the closing value of
that Underlying on the Pricing Date and is specified under “Key Terms – Initial Value” in this pricing supplement.
For historical data regarding the actual closing values of each Underlying, please see the historical information set forth under
“The Underlyings” in this pricing supplement.
Each
hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser
of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example
1 — Notes have NOT been redeemed early, the Final Value of the Least Performing Underlying is greater than or equal to its
Trigger Value and the closing value of the Least Performing Underlying on each day during the final Quarterly Monitoring Period
is greater than or equal to its Interest Barrier.
Date
|
Closing
Value of Least Performing Underlying on Review Date
|
Lowest Closing
Value of Least Performing Underlying During Quarterly Monitoring Period
|
Payment (per
$1,000 principal amount note)
|
First Review Date
|
95.00
|
90.00
|
$24.375
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Second Review Date
|
85.00
|
80.00
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$24.375
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Third through Thirteenth Review Dates
|
Various
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
90.00
|
90.00
|
$1,024.375
|
|
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Total Payment
|
$1,073.125 (7.3125% return)
|
Because the notes
have not been redeemed early, the Final Value of the Least Performing Underlying is greater than or equal to its Trigger Value
and the closing value of the Least Performing Underlying on each day during the final Quarterly Monitoring Period is greater than
or equal to its Interest Barrier, the payment at maturity, for each $1,000 principal amount note, will be $1,024.375 (or $1,000
plus
the Contingent Interest Payment applicable to the final Quarterly Monitoring Period). When added to the Contingent
Interest Payments received with respect to the prior Quarterly Monitoring Periods, the total amount paid, for each $1,000 principal
amount note, is $
1,073.125
.
Example
2 — Notes have NOT been redeemed early, the Final Value of the Least Performing Underlying is greater than or equal to its
Trigger Value and the closing value of the Least Performing Underlying on at least one day during the final Quarterly Monitoring
Period is less than its Interest Barrier.
Date
|
Closing
Value of Least Performing Underlying
|
Lowest Closing
Value of Least Performing Underlying During Quarterly Monitoring Period
|
Payment (per
$1,000 principal amount note)
|
First Review Date
|
95.00
|
90.00
|
$24.375
|
Second Review Date
|
85.00
|
80.00
|
$24.375
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Third through Thirteenth Review Dates
|
Various
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
65.00
|
60.00
|
$1,000.00
|
|
Total Payment
|
|
$1,048.75 (4.875% return)
|
PS-
4
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
Because
the notes have not been redeemed early, the Final Value of the Least Performing Underlying is greater than or equal to its Trigger
Value but the closing value of the Least Performing Underlying on at least one day during the final Quarterly Monitoring Period
is less than its Interest Barrier, the payment at maturity, for each $1,000 principal amount note, will be $1,000.00. When added
to the Contingent Interest Payments received with respect to the prior Quarterly Monitoring Periods, the total amount paid, for
each $1,000 principal amount note, is $1,048.75.
Example
3 — Notes have NOT been redeemed early and the Final Value of the Least Performing Underlying is less than its Trigger Value.
Date
|
Closing
Value of Least Performing Underlying on Review Date
|
Lowest Closing
Value of Least Performing Underlying during Quarterly Monitoring Period
|
Payment (per
$1,000 principal amount note)
|
First Review Date
|
60.00
|
55.00
|
$0
|
Second Review Date
|
55.00
|
50.00
|
$0
|
Third through Thirteenth Review Dates
|
Various
|
Less than Interest Barrier
|
$0
|
Final Review Date
|
50.00
|
50.00
|
$500.00
|
|
|
Total Payment
|
$500.00 (-50.00% return)
|
Because
the notes have not been redeemed early, the Final Value of the Least Performing Underlying is less than its Trigger Value (and,
therefore, the closing value of the Least Performing Underlying on at least one day during the final Quarterly Monitoring Period
is less than its Interest Barrier) and the Least Performing Underlying Return is -50.00%, the payment at maturity will be $500.00
per $1,000 principal amount note, calculated as follows:
$1,000
+ [$1,000 × (-50.00%)] = $500.00
The
hypothetical returns and hypothetical payments on the notes shown above apply
only if you hold the notes for their entire term.
These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If
these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.
Selected
Risk Considerations
An investment in the notes involves significant
risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement
and underlying supplement.
|
·
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —
|
The notes do not guarantee any return
of principal. If the notes have not been redeemed early and the Final Value of any Underlying is less than its Trigger Value, you
will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Least Performing Underlying is less
than its Initial Value. Accordingly, under these circumstances, you will lose more than 45.00% of your principal amount at maturity
and could lose all of your principal amount at maturity.
|
·
|
THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL —
|
If the notes have not been redeemed
early, we will make a Contingent Interest Payment with respect to a Quarterly Monitoring Period only if the closing value of each
Underlying on each day during that Quarterly Monitoring Period is greater than or equal to its Interest Barrier. If the closing
value of any Underlying on any day during a Quarterly Monitoring Period is less than its Interest Barrier, no Contingent Interest
Payment will be made with respect to that Quarterly Monitoring Period. Accordingly, if the closing value of any Underlying on any
day during each Quarterly Monitoring Period is less than its Interest Barrier, you will not receive any interest payments over
the term of the notes.
|
·
|
CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —
|
Investors are dependent on our and JPMorgan
Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase &
Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely
affect the value of the notes. If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive
any amounts owed to you under the notes and you could lose your entire investment.
PS-
5
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
|
·
|
AS
A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED
ASSETS —
|
As a finance subsidiary of JPMorgan Chase
& Co., we have no independent operations beyond the issuance and administration of our securities. Aside from the initial capital
contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of our affiliates to make payments
under loans made by us or other intercompany agreements. As a result, we are dependent upon payments from our affiliates to meet
our obligations under the notes. If these affiliates do not make payments to us and we fail to make payments on the notes, you
may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co.
|
·
|
THE OPPORTUNITY TO RECEIVE A CONTINGENT INTEREST PAYMENT WITH RESPECT TO ANY QUARTERLY MONITORING
PERIOD MAY TERMINATE ON ANY DAY DURING THAT QUARTERLY MONITORING PERIOD —
|
If the closing value of any Underlying
on any day during a Quarterly Monitoring Period is less than its Interest Barrier, no Contingent Interest Payment will be made
with respect to that Quarterly Monitoring Period, even if the closing value of each Underlying on each of the other days during
that Quarterly Monitoring Period, including the related Review Date, is greater than or equal to its Interest Barrier.
|
·
|
THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS
THAT MAY BE PAID OVER THE TERM OF THE NOTES,
|
regardless of any appreciation in the
value of any Underlying, which may be significant. You will not participate in any appreciation in the level of any Underlying.
We and our affiliates play a variety
of roles in connection with the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests
are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours
or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of
the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying
product supplement.
|
·
|
JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500
®
INDEX,
|
but JPMorgan Chase & Co. will not
have any obligation to consider your interests in taking any corporate action that might affect the level of the S&P 500
®
Index.
|
·
|
YOU ARE EXPOSED TO THE RISK OF DECLINE IN THE LEVEL OF EACH UNDERLYING —
|
Payments on the notes are not linked
to a basket composed of the Underlyings and are contingent upon the performance of each individual Underlying. Poor performance
by any of the Underlyings over the term of the notes may negatively affect whether you will receive a Contingent Interest Payment
on any Interest Payment Date, and your payment at maturity and will not be offset or mitigated by positive performance by the other
Underlyings.
|
·
|
YOUR PAYMENT AT MATURITY MAY BE DETERMINED BY THE LEAST PERFORMING UNDERLYING.
|
|
·
|
THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —
|
If the Final Value of any Underlying
is less than its Trigger Value and the notes have not been redeemed early, the benefit provided by the Trigger Value will terminate
and you will be fully exposed to any depreciation in the closing value of the Least Performing Underlying.
|
·
|
THE OPTIONAL EARLY REDEMPTION FEATURE MAY FORCE A POTENTIAL EARLY EXIT —
|
If your notes are redeemed early, the
term of the notes may be reduced to as short as approximately six months and you will not receive any Contingent Interest Payments
after the applicable Interest Payment Date. There is no guarantee that you would be able to reinvest the proceeds from an investment
in the notes at a comparable return and/or with a comparable interest rate for a similar level of risk. Even in cases where the
notes are redeemed before maturity, noteholders are not entitled to any fees and commissions described on the front cover of this
pricing supplement.
|
·
|
YOU WILL NOT RECEIVE DIVIDENDS ON THE FUND OR THE SECURITIES INCLUDED IN OR HELD BY ANY UNDERLYING
OR HAVE ANY RIGHTS WITH RESPECT TO THE FUND OR THOSE SECURITIES.
|
PS-
6
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
|
·
|
AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION
STOCKS WITH RESPECT TO THE RUSSELL 2000
®
INDEX —
|
Small capitalization companies may
be less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small capitalization
companies are less likely to pay dividends on their stocks, and the presence of a dividend payment could be a factor that limits
downward stock price pressure under adverse market conditions.
|
·
|
THERE ARE RISKS ASSOCIATED WITH THE FUND —
|
The Fund is subject to management risk,
which is the risk that the investment strategies of the Fund’s investment adviser, the implementation of which is subject
to a number of constraints, may not produce the intended results. These constraints could adversely affect the market price of
the shares of the Fund and, consequently, the value of the notes.
|
·
|
DIFFERENCES BETWEEN THE FUND AND THE UNDERLYING INDEX —
|
The Fund does not fully replicate its
Underlying Index (as defined under “The Underlyings” below) and may hold securities not included in its Underlying
Index. In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the
calculation of its Underlying Index. Furthermore, because the shares of the Fund are traded on a securities exchange and are subject
to market supply and investor demand, the market value of one share of the Fund may differ from the net asset value per share of
the Fund. All of these factors may lead to a lack of correlation between the Fund and its Underlying Index.
|
·
|
NON-U.S. SECURITIES RISK WITH RESPECT TO THE FUND —
|
The equity securities held by the Fund
have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve
risks associated with the securities markets in the home countries of the issuers of those non-U.S. equity securities. Also, there
is generally less publicly available information about companies in some of these jurisdictions than there is about U.S. companies
that are subject to the reporting requirements of the SEC.
|
·
|
THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK WITH RESPECT TO THE FUND —
|
Because the prices of the equity securities
held by the Fund are converted into U.S. dollars for purposes of calculating the net asset value of the Fund, holders of the notes
will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities held by the
Fund trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar
and the relative weight of equity securities held by the Fund denominated in each of those currencies. If, taking into account
the relevant weighting, the U.S. dollar strengthens against those currencies, the price of the Fund will be adversely affected
and any payment on the notes may be reduced.
|
·
|
THE ANTI-DILUTION PROTECTION FOR THE FUND IS LIMITED —
|
The
calculation agent will make adjustments to the Share Adjustment Factor for the Fund for certain events affecting the shares of
the Fund. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of
the Fund. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially
and adversely affected.
|
·
|
THE RISK OF THE CLOSING VALUE OF AN UNDERLYING FALLING BELOW ITS INTEREST BARRIER OR TRIGGER VALUE
IS GREATER IF THE VALUE OF THAT UNDERLYING IS VOLATILE.
|
The notes will not be listed on any
securities exchange. Accordingly, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which JPMS is willing to buy the notes. You may not be able to sell your notes. The notes are not designed to be short-term
trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
|
·
|
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.
PS-
7
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
|
·
|
THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER
FROM OTHERS’ ESTIMATES —
|
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. 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).
|
·
|
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 the notes from you
in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the
Maturity Date could result in a substantial loss to you.
|
·
|
SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —
|
The secondary market price of the notes
during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside
from the selling commissions, projected hedging profits, if any, estimated hedging costs and the values of the Underlyings. Additionally,
independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on
customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may
be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value
and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market
factors” in the accompanying product supplement.
The
Underlyings
The S&P 500
®
Index consists
of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information
about the S&P 500
®
Index, see “Equity Index Descriptions — The S&P U.S. Indices” in the
accompanying underlying supplement.
The Russell 2000
®
Index consists
of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology,
consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index
is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000
®
Index, see “Equity Index Descriptions — The Russell Indices” in the accompanying
underlying supplement.
The Fund is an exchange-traded fund of iShares
®
Trust, a registered investment company, which seeks to track the investment results, before fees and expenses, of an index composed
of large and mid-capitalization developed market equities, excluding the United States and Canada, which we refer to as the Underlying
Index with respect to the Fund. The Underlying Index for the Fund is currently the MSCI EAFE
®
Index. The MSCI EAFE
®
Index is a free float-adjusted market capitalization index intended to measure the equity market performance of the developed equity
markets in Europe, Asia, Australia and New Zealand. For additional information about the Fund, see “Fund Descriptions —
The iShares
®
MSCI EAFE ETF” in the accompanying underlying supplement.
PS-
8
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
Historical Information
The following graphs set forth the historical
performance of each Underlying based on the weekly historical closing values from January 7, 2011 through September 23, 2016. The
closing value of the S&P 500
®
Index on September 23, 2016 was 2,164.69. The closing value of the Russell 2000
®
Index on September 23, 2016 was 1,254.623. The closing value of the iShares
®
MSCI EAFE ETF on September 23, 2016
was $59.26. We obtained the closing values above and below from the Bloomberg Professional
®
service (“Bloomberg”),
without independent verification. The closing values of the Fund below may have been adjusted by Bloomberg for actions taken by
the Fund, such as stock splits.
The historical closing values of each Underlying
should not be taken as an indication of future performance, and no assurance can be given as to the closing value of any Underlying
on any Review Date or any day during any Quarterly Monitoring Period. There can be no assurance that the performance of the Underlyings
will result in the return of any of your principal amount or the payment of any interest.
PS-
9
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
Tax
Treatment
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product
supplement no. 4-I. In determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax
purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary
income, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to
U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying
product supplement. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable
treatment, but that there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character
of any income or loss on the notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments
and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice
requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially affect the tax consequences of an investment in the notes, possibly with
retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in
the notes, including possible alternative treatments and the issues presented by this notice.
Non-U.S.
Holders — Tax Considerations
. The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and
although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding
tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally
at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your
notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so
requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged
to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes in light of your
particular circumstances.
Non-U.S.
holders should also note that recently promulgated Treasury regulations imposing a withholding tax on certain “dividend
equivalents” under certain “equity linked instruments” will not apply to the notes.
FATCA
.
Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the notes that
are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for U.S.
federal income tax purposes (such as interest, if the notes are recharacterized, in whole or in part, as debt instruments, or
Contingent Interest Payments if they are 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
PS-
10
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
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.
The
Estimated Value of the Notes
The
estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following
hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of
the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any
exists) at any time. The internal funding rate used in the determination of the estimated value of the notes is based on, among
other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational
and ongoing liability management costs of the notes
in comparison to those costs for the
conventional fixed-rate debt of JPMorgan Chase & Co
. For additional information, see “Selected
Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this
pricing supplement.
The
value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on
various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and
other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the
notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions
existing at that time.
The
estimated value of the notes does not represent future values of the notes and may differ from others’ estimates. Different
pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of
the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to
be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market
conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which
may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions.
The
estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring
and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid
to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the
notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may
result in a profit that is more or less than expected, or it may result in a loss. A portion of the profits, if any, realized
in hedging our obligations under the notes may be allowed to other affiliated or unaffiliated dealers, and we or one or more of
our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations — The Estimated Value
of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.
Secondary
Market Prices of the Notes
For
information about factors that will impact any secondary market prices of the notes, see “Risk Factors — Risks Relating
to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted
by many economic and market factors” in the accompanying product supplement. In addition, we generally expect that some
of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases
of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include projected
hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for
structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of
the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates
expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs
are incurred, as determined by our affiliates. See “Selected Risk Considerations — The Value of the Notes as Published
by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the
Notes for a Limited Time Period” in this pricing supplement.
PS-
11
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
Supplemental
Use of Proceeds
The
notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the
notes. See “How the Notes Work” and “Hypothetical Payout Examples” in this pricing supplement for an illustration
of the risk-return profile of the notes and “The Underlyings” in this pricing supplement for a description of the
market exposure provided by the notes.
The
original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other
affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.
Validity
of the Notes and the Guarantee
In
the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co.,
when the notes offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the
trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding
obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase &
Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation,
concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect
of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This
opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the
State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions
about the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity,
binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated
February 24, 2016, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan
Chase & Co. on February 24, 2016.
Additional
Terms Specific to the Notes
You
should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus
supplement, relating to our Series A medium-term notes of which these notes are a part, and the more detailed information contained
in the accompanying product supplement and the accompanying underlying 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” sections of the accompanying product supplement and
the accompanying underlying supplement, as the notes involve risks not associated with conventional debt securities. We urge you
to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You
may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings
for the relevant date on the SEC website):
Our
Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing
supplement, “we,” “us” and “our” refer to JPMorgan Financial.
PS-
12
| Structured Investments
Callable Contingent Interest Notes Linked to the Least Performing of the
S&P 500
®
Index, the Russell 2000
®
Index and the iShares
®
MSCI EAFE
ETF
|
|
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